It's an amalgamation of the various Jesus Christ swears I've heard. Separately, they're:
Jesus H. Christ!
Jesus Bald-headed Christ!
Jesus Christ on a Motorcylce!
Another one I says sometimes is Jesus jumped up a Bullfrog Christ. That one comes from "Jesus Jiminiy Jumped Up Christ!" and because I like bullfrogs. I like the pogo stick one, though. xD
