"You don't say!" = ¿En serio? This is like saying "Really???" when your friend tells you some shocking gossip.

I think it has a bit different meaning - "No digas". Example: Do me a favor and don't say anything to anyone. Hazme un favor y no le digas nada a nadie. Whereas "No me digas" means "Don't tell me". Example: Don't tell me you've really developed a taste for knowledge. No me digas que realmente has desarrollado un gusto por el conocimiento.