I don't capitalise any of them, but I'm an atheist so I guess I'm just using them in well-known phrases and never to refer to a god by name, no matter what it is.
Oh, for god's sake, don't do that.
I'll just say that god alone knows what he was doing that day.
I will, however, concede that I would probably capitalise Jesus on the basis that I do at least believe that someone by that name existed a very long time ago, probably spoke some wise words and their existence led on to a religion. Therefore, Jesus would be a proper noun. So I would say,
Oh, Jesus, what have you done now?!
Jesus Christ, I can't leave you alone for five minutes without you wrecking the joint, can I?!
I'm really not trying to start some kind of religious/belief conversation here. I genuinely had to sit down and think about how I would use those words and try to come up with a reason for why I say/write them how I do.