To me, "which" would sound better than "what" in your sentence, as you are comparing a number of features, personality traits, etc. Or maybe in such contexts, "what" would be OK: "Among all the features of this phone, what do you think is the most impressive?". My two cents as a non-native.

A. It is grammatically correct and natural. If you replaced 'What' with 'Which' it remains grammatically correct and natural as well.

Thanks for the comment, Gdanning. I could imagine some contexts where "Which is the most impressive?" fits, but found it a bit strange when thinking of "What is the most impressive?" Probably it's just because I hear the latter less. Would you mind to give some examples that could highlight the difference between these two? It's interesting that my original question starts with "What ..." without mentioning "which" but all the people answering/commenting so far automatically suggest "Which ...". Is it because the latter is more natural to you? By the way, the original sentence "What do you think is the most impressive?" is a stand-alone question in a feedback questionnaire about an activity. There's no option given, so "what" looks reasonable for an open question. But I never heard of "What is the most impressive?" and a quick search on Google gave me sentences with a noun at the end. I then suspect if there's a subtle rule and posted this question to confirm or falsify it.

A. A noun at the end is needed only if the subject of the conversation had not been raised before. If we were discussing two job applicants, it would be idiomatic for me to ask, "which is the most impressive?" because you would know I meant which applicant.