that’s too bad!

(ざんねん)   more informal. “That’s too bad.” – say this when someone didn’t enjoy a movie they went to, or couldn’t come to your party.   $$$
(いかん) Kind of formal – something is regrettable -some big thing – North Koreans kidnapping people, the fingers you lost in a factory accident.
しい(くやしい) Say this when you lost a big game or got dumped.