An alternative to the endlessly popular 'What the fuck', and a nice way to express surprise, disbelief or disgust with a bit of flamboyance. Some find the word 'shag' to be ugly in the mouth, but for those who are comfortable with using it, 'What the shag' can be a lovely addition to their foul diction.
"Hey, I just got plastic surgery to increase my ankle size."
"What the shag? Why?"