In this paper a class of combinatorial optimization problems with uncertain costs is discussed. The uncertainty is modeled by specifying a discrete scenario set containing $K$ distinct cost scenarios. The Ordered Weighted Averaging (OWA for short) aggregation operator is applied to choose a solution. The well-known criteria such as: the maximum, minimum, average, Hurwicz and median are special cases of OWA. By using OWA, the traditional min-max approach to combinatorial optimization problems with uncertain costs, often regarded as too conservative, can be generalized. The computational complexity and approximability of the problem of minimizing OWA for the considered class of problems are investigated and some new positive and negative results in this area are provided. These results remain valid for many important problems, such as network or resource allocation problems.