And at the ninth hour Jesus cried with a loud voice, saying, Eloi, Eloi, lama sabachthani? which is, being interpreted, My God, my God, why hast thou forsaken me?
Note 10 at Mr 15:34: Matthew and Mark both recorded this utterance of Jesus. Scholars disagree on exactly what language this was, but most believe that it was a mixture of Hebrew and Aramaic. However, none of the people standing there understood what language Jesus was speaking, as can be seen by their statements in Mr 15:35. Matthew and Mark both translated this utterance to mean, "My God, my God, why hast thou forsaken me?"
This is an exact quotation from Ps 22:1. The answer to this question is given in Ps 22:3, "But thou art holy, O thou that inhabitest the praises of Israel." Jesus took our sins into His own body on the cross (1Pe 2:24), becoming sin for us (2Co 5:21), and therefore suffered the fate that we should have suffered--separation from God (Isa 59:2).