You use it when you didn't hear or understand what the other person said. It means something like: what did you say/can you repeat that?

It means "What did you say?(!)". It works as a way of saying that you did not hear what the person said and would like to repeat the sentence. It is however more polite to say "Undskyld hvad sagde du?". Another meaning of "hvad for noget?" is expressing disbelief in something the other person says. One example could be that one person says "Mine sko kostede 3000 kr." (I payed 3000 kr. for my shoes) where the other person then could respond: "Hvad for noget?!" (What?!!), because he is surprised of the high prize.