It's disrespectful; "what?" used as a one word question is vulgar and shows you couldn't even be bothered to say 'pardon?', or 'sorry, I didn't hear that' which is then a reflection of the value you place on the person you're talking to. If you think about it, saying 'what?' doesn't even make sense in that context, is it meant to be short for 'what did you just say?'
Whatever it's meant to mean it's poor manners and I'm very picky about the way people speak to me, it's a matter of common courtesy
I agree CCR depending on your audience. I wouldn't say "what?" in a professional setting. Its not what you say but how you say it.
But if I'm with buddies its usually "what the f*ck did you just say?" LOL