O, oh
Vocative O is always capped and never followed by a comma:
O Lord, our strength
Sail on, O Ship of State
The interjection oh, lowercased except at the beginning of a sentence, is preceded and followed by a comma unless it makes a unit interjection with another word:
Oh boy!
Oh, what a difference!
But, oh, what a difference!
Oh man!
Oh my, what a difference!
Oh yes, I agree.