Pardon? Sorry, can you say it again? Sorry, what did you say? Excuse me, can you repeat what you said again? All are acceptable. There are many variations. It's all good as long as the meaning gets across. "Sorry" and "Excuse me" are used when you want to sound more polite. You can choose not to use them.

I would say "Could you please say it again."

thanks

Like you said, "say it again" or "come again" etc are just fine. We're not in the 18th century, are we? Other phrases would be a little phony to me.

If i don't understand what another person said and I want him to say it again, what should i say? or: If I don't understand what a person is saying and I want him to repeat it, what should I say?"