If you want to be really polite about it try, "Excuse me. I didn't quite get that." It conveys more that you failed to understand rather than him/her failing to make themselves understood.
It is always polite to make the other person feel it was your fault for not being able to understand. To do this, you can also use "I couldn't" or "I wasn't able to"
"I'm sorry, I couldn't understand that, would you mind repeating?"
"I'm sorry, can you repeat, I wasn't able to understand."
Saying "I don't get it" or "I didn't get it" is used more for when you don't understand a concept rather than comprehending what someone is saying.
When you say "I didn't get THAT" you are being specific about a specific portion of what a person is saying. It's not as polite but most people won;t really mind.