Here's why:
* "Fun" is an adjective. You need a noun after an adjective to make a complete phrase.
* You need an article (a/an) before a singular noun.
Here are some grammatically correct ways to say it:
* "What a fun time!"
* "What a fun activity!"
* "What a fun day!"
* "That was so much fun!"
Let me know if you have any other questions!