Depends on the game and whether I'm playing alone or not. With an audience I tend to get creative. On my own just generalized sounds of frustration and occasionally cursing. One specific exception is playing fighting games - particularly Guilty Gear - with friends in which case...well, that's just a series of inside jokes that would take too long to explain, but includes such remarks as "Kick you in your face" and "Just wanna be your friend," usually with the last word extended for comic effect.
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Like I said, inside jokes.