What the heck is it? This comes to my ear once in a while.
If you have the Cassell's slang dictionary, look under "what the hell", "what the devil"...it has exactly the same meaning. You say that when you are surprised or annoyed or both. "What in the blue hell...", "What the dickens..." and many many more.
What the heck is a very common phrase. It's a much milder version of other phrases containing the four letter word.