For surprise:
* Good heavens!
* Goodness gracious!
* My word!
* Oh my goodness!
* For goodness sake!
* Heavens to Betsy!
* In the world?
* On earth?
* Under the sun?
For confusion:
* What in the world?
* What the heck?
* What's going on?
* How in the...?
* I don't understand.
* I'm baffled.
* I'm at a loss for words.
For annoyance:
* What the...?
* For crying out loud!
* Are you kidding me?
* Seriously?
* You've got to be joking!
* Don't be ridiculous!
For disbelief:
* You can't be serious!
* No way!
* I don't believe it!
* You're pulling my leg!
More formal:
* Why ever?
* How extraordinary!
* How peculiar!
* How curious!
For emphasizing a question:
* What exactly...?
* What precisely...?
* What on account of...?
The best alternative will depend on the specific situation and your desired tone.