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Questions & Answers about ¡Vaya, qué pena!
Why does vaya mean "oh dear" here? Isn't it from the verb ir (to go)?
You are exactly right! While vaya is a form of the verb ir, it is very commonly used as an exclamation all on its own. Depending on your tone of voice, it can mean "oh no", "oh dear", "wow", or "my goodness". Here, it expresses mild disappointment or sympathy.
Why is there no word for "a" in qué pena?
Are there other common phrases that use qué like this?
Can vaya be used for good things too, or only bad things like a pity?
It can definitely be used for good things! If someone tells you they just won the lottery, you could say ¡Vaya! to mean "Wow!" or "My goodness!". It is a general expression of surprise, whether the news is good or bad.