Use a comma after "oh" if it's an interjection expressing surprise, excitement, or another strong emotion:
* Oh, my goodness! That's amazing!
* Oh, I didn't know that. Tell me more!
* Oh, no! We're out of milk!
Do not use a comma after "oh" if it's part of a phrase like "oh well," "oh dear," or "oh my":
* Oh well, I guess I'll just have to wait.
* Oh dear, that's a problem.
* Oh my, this is delicious!
Essentially, if "oh" stands alone and expresses a strong feeling, use a comma. If it's part of a more casual phrase, no comma is needed.