If you intend to express surprise the expression is "What the f**k!" and for confusion or similar "What the f**k?" So the only difference is the punctuation (or intonation if voicing it). "What a f**k!" would express great satisfaction after intercourse, but "What a f**k?" is just incorrect in general, though street slang might well use that form, as well as "What da f**k?" or even "Wha da f**k?"--all just slurred pronunciation of "What the f**k?"

"What a f**k" is a derogatory way of referring to a person too. A very offensive way of calling someone an idiot. "What THE f**k" is a much stronger way of saying "What the hell!". By swearing you're giving more emphasis to your shock or surprise.