A way to express disappointment or grief. Something to say when you're sad when talking to a bro.
Bro 1: Hey dude can you pick me up on your way to Dave's?
Bro 2: No way.
Bro 1: Bum dog.
...
Bro 1: Hey dude wanna go skydiving?
Bro 2: Not since I broke my knees.
Bro 1: Bum dog.