The word bloody is the adjectival form of blood but may also be used as a swear word or intensifier. In this context it is of lower intensity than fuck but stronger than damn. Some say it may be derived from the phrase "by Our Lady", i.e. a sacrilegious invocation of the Virgin Mary, although others regard this explanation as dubious. Another theory is that it simply comes from a reference to blood.
Although considered profane in the UK and Commonwealth, it has no particular significance in the United States. The use of bloody in adult UK broadcasting aroused controversy in the 1960s and 1970s but is now unremarkable, much as happened with fuck in the 1980s to 1990s.