"What?" is very impolite. It would be far better to say, "I didn't understand everything you said, could you repeat it?" If that is too long, then try, "I'm sorry, could you repeat that?"

Simply saying "what?" (depending on tone of voice) may come off as strong, like you are taking offense. You could say "I'm sorry, could you repeat that/ could you say that again/ I didn't catch that/ once more please?" Or any combination of those.

"Say that again, please."

Or just say: "Pardon?"