Note 10 at Mk. 15:34: Matthew and Mark both record 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 the next verse. Matthew and Mark both translate this utterance to mean, "My God, my God, why hast thou forsaken me?"

This is an exact quotation from Psalm 22:1. The answer to this question is given in Psalm 22:3 which says, "But thou art holy, O thou that inhabitest the praises of Israel." Jesus took our sins into His own body on the cross (1 Pet. 2:24) becoming sin for us (2 Cor. 5:21) and therefore suffered the fate that we should have suffered, which was separation from God (Isa. 59:2).