The effects of intrinsic noise on stochastic delay systems is studied within an expansion in the inverse system size. We show that the stochastic nature of the underlying dynamics may induce oscillatory behavior in parameter ranges where the deterministic system does not sustain cycles, and compute the power spectra of these stochastic oscillations analytically, in good agreement with simulations. The theory is developed in the context of a simple one-dimensional toy model, but is applicable more generally. Gene regulatory systems in particular often contain only a small number of molecules, leading to significant fluctuations in messenger RNA (mRNA) and protein concentrations. As an application we therefore study a minimalistic model of the expression levels of hes1 mRNA and Hes1 protein, representing the simple motif of an autoinhibitory feedback loop and motivated by its relevance to somite segmentation.