I didn't understand = 이해를 잘 못했어요. I didn't hear what you said = 무슨 말을 하는지 못 들었어요. Plus, these sentences will be useful if you use with this sentence... : * Can you repeat again please? = 다시 말해주세요. / 다시 말해줄 수 있어요? Hope it will help. :)

뭐라고요? What did you say?

you can use 네? (formal) and 뭐? (informal) as well ~