'Say what' is an informal expression used to indicate that the listener is surprised or needs clarification about something that has been said. There are several synonyms that can be used to convey a similar message, depending on the situation. 'Pardon me,' or 'Excuse me,' can be used to request clarification when one has missed something being said. 'What did you say?' and 'Could you repeat that, please?' are also commonly used. 'Come again?' and 'Say again?' are more casual alternatives to 'Say what?'. 'I beg your pardon?' shows polite disbelief and can be used in more formal situations. 'Seriously?' or 'You're kidding?' are a bit more colloquial, indicating skepticism or disbelief.