By the usual standards of English grammar, the irreverent utterance of exasperation should be for God’s sake, with an apostrophe to show that god’s is possessive and with sake in the singular form, but the phrase appears idiomatically in several other forms—for example:
He’s a third-stringer for God’s sakes! [The Collegian (link now dead)]
This is a school, for god sake, not a wilderness attraction! [LBPost]
They can’t even keep their hockey team, for god sakes, and Canada gets one? [The Star]
Since God here is essentially a name, the first letter should be capitalized. The sake belongs to God, so God should be in the possessive form: God’s. And because we’re talking about just one god, there is only one sake. But, again, since the phrase is colloquial and rare in formal contexts, we can consider the less grammatical forms idiomatic and hence not governed by the usual rules.