Sometimes in life you're just bummed out about something, and one of the words that expresses that idea in Russian is жаль. Жаль expresses an idea of sadness or regret or irritation; it can form an entire sentence unto itself:

If want to add the “what a” idea to it, you use как:

Very often жаль is followed by a clause beginning with что:

Жаль, что она не пришла.

It's a shame that she didn't come. or

It's a pity that she didn't come.

Жаль, что ты так мало зарабатываешь.

It's a pity that you earn so little. or

It's a shame that you earn so little.

If you want to incorporate the idea of who is experiencing the pity, then the person goes into the dative case. Once the person is added, though, it flows best if you don't use the words pity and shame in Engish translation. Instead other versions sound better:

Мне жаль, что она не пришла.

I'm disappointed that she didn't come. or
I'm sad that she didn't come. or

I'm bummed that she didn't come. or

I feel bad that she didn't come.

Лене жаль, что ты так мало зарабатываешь.

Lena's sad that you earn so little. or
Lena's disappointed that you earn so little. or

Lena's bummed that you earn so little. or

Lena feels bad that you earn so little.

To put the жаль phrase into the past or future tense, use было and будет respectively: