So for starters, let’s not get confused — the expression “Holy cow!” is NOT the equivalent of the idiom “sacred cow” (though I won’t completely dismiss the notion that it might have some connection)

http://idioms.thefreedictionary.com/cow

The word “cow” may be totally arbitrary. But seeing that it starts with a C, it may well be that it began as a “minced oath”, a milder substitute for “Holy Christ” (Such expressions frequently use a harmless or even meaningless substitute including some of the same sounds, esp BEGINNING with the same sounds — cf. “Jeepers Creepers”, “Jees”, “Jiminy Cricket” and “Judas Priest” for “Jesus (Christ)”; also Gosh, darn, heck…. ‘the dickens’ for ‘the devil’, etc.)

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There is actually quite a bit of discussion of this and similar expressions on the internet. The following is my gleanings of the best of it:

First note that “Holy cow” is one of a number of relatively RECENT and specifically AMERICAN expressions beginning “holy …”.

The dates several of these are first attested in print:

“Holy smoke!, 1889; Holy cats!, Holy mackerel!, both 1803; Holy Moses!, 1906, Holy cow!, 1942.”

From “I Hear America Talking” by Stuart Berg Flexner (Von Nostrand Reinhold Co., New York, 1976). ”

http://www.phrases.org.uk/bulletin_board/22/messages/23.html

Of this whole group the American Heritage Dictionary of Idioms writes:

‘Holy cow,’ ‘holy mackerel’ or ‘Moses’ or ‘moly’ or ‘smoke.’ An exclamation of surprise, astonishment, delight, or dismay, as in Holy cow, I forgot the wine, or Holy mackerel, you won! or Holy Moses, here comes the teacher! or Holy smoke, I didn’t know you were here too. The oldest of these slangy expletives uses mackerel, dating from about 1800; the one with ‘Moses’ dates from about 1850 and ‘cow’ from about 1920. None has any literal significance, and moly is a neologism devised to rhyme with “holy” and possibly a euphemism for “Moses.”

http://www.wordwizard.com/ch_forum/topic.asp?TOPIC_ID=3735

Compare the following on “holy smoke” —

“It seems more likely that holy smoke was invented anew as a mock-religious exclamation and mild oath on the model of the older holy Moses (from the 1850s), and holy terror and Holy Joe (both from the 1880s). In turn these probably served as the model for others of similar type that came later, such as holy cow from the early 1940s.”

http://www.worldwidewords.org/qa/qa-hol1.htm

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Note that date for the first printed attestation of “holy cow!” (1942/early 1940s). This does not necessarily mean that was it’s first use, but it apparently is much later than many of the others. But it DOES suggest that it might not be so closely connected with the 19th century forms. Rather it might be part of a wave of mid 20th century expressions of this type, esp in popular media (comic books, TV, movies).

On these, note the following:

: : From the Dictionary of American Slang (1960):

“Holy cow!” . . . Equiv. to “Holy cats!” both being euphemisms for “Holy Christ!” . . .the common oath and popular exclam. put into the mouth of teenagers by all script writers … universally heard on radio, television, and in movies. It was first popularized by the “Corliss Archer” series of short stories, television programs, and movies, which attempted to show the humorous, homey side of teenage life.

: : Paul Beale (1985), however, in revising Eric Partridge’s “Dictionary of Catch Phrases American and British,” cites a different origin:

The orig. ‘Captain Marvel’ and ‘Batman’ oaths, ‘holy (something harmless),’ were in turn spoofed in later C20 by whatever seemed relevant to the situation: Nigel Rees, in “Very Interesting . . . But Stupid: Catchphrases from the World of Entertainment,” 1980, instances holy flypaper!, holy cow!, holy felony!, holy geography!, holy schizophrenia! holy haberdashery!, etc., and adds, ‘The prefix ‘holy’ to any exclamation was particularly the province of Batman and [his boy assistant] Robin, characters created by Bob Kane and featured in best-selling comic books for over thirty years before they were portrayed by Adam West and Burt Ward in the TV film series.’

http://www.phrases.org.uk/bulletin_board/22/messages/23.html

Since all of this was done as silliness. It’s possible the notion was suggested by the Hindus “sacred cow”, base on the idea that a cow itself is a rather silly thing to be regarded holy/sacred. At any rate, the idea seems to be that the word is supposed to refer to something harmless (which also applies if it was chosen as a substitute for “Christ”).

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One remotely possible parallel (my own idea) I will toss in:

The early 19th century expression ‘holy mackerel’ was apparently related to the expression ‘mackerel-snappers’, a mock term of derision used against Catholics immigrants. This was based on their eating fish on Friday — why mackerels? It may be influenced by the fact that mackerels are very cheap [what these immigrants could afford] and not highly regarded. But “mackerel” may also have been influenced by the sound of “Michael” (name of the archangel).

http://www.takeourword.com/TOW180/page2.html

Though it was originally derisive, there may again be the idea of silliness, viz, the notion that a fish (esp. the mackerel) is rather a silly thing to be regarded as holy.

Now, though they are not close in time, perhaps it’s worth considering the possibility that “holy cow” had some derogatory notion behind it… an extension of the use of cow as an insulting term for a woman… regarded as fat, ugly, slovenly, contemptible or silly

http://www.peevish.co.uk/slang/c.htm

http://dictionary.reference.com/search?q=cow

http://en.wiktionary.org/wiki/Cow

While watching t.v. can be good fun, it isn’t doing anything to the human brain.

http://www.phrases.org.uk/bulletin_board/11/messages/434.html