Both expressions are very similar but in my experience "oh my god" is used more generally to show disbelief, frustration, excitement or other outbursts of emotions.
"For god's sake", in my opinion, and I could be wrong, is used more like a curse to express negative emotions like frustration.
So if your coworker Terry accidentally spills coffee over your files you could say "for god's sake, Terry!" but later when you retell the story you could start with "oh my god, you won't believe what Terry did today!"
I hope this was correct and helpful :)