"What a shame" or "that's a shame" is similar to "too bad", right?
Yes, but a few degrees stronger.
The exclamation point is another determiner of degree.
"I lost fifty cents in that Coke machine."
"Too bad."
"I lost fifty dollars in a poker game."
"What a shame."
"I lost fifty thousand dollars on Enron stock."
"What a shame!"
I found a dollar on the street.
"That's great."
I won a fifty-dollar football pool
"That's great!"
I won a fifty thousand dollars in the lottery!
"Wow! That's terrific!"
The problem, at least in American English, is that some of the expressions, such as "Good for you!" and "That's just great!" can be said with great sarcasm, so you must be careful that you don't give the wrong impression.
[not a teacher]