Formal:
* Je ne comprends pas. (This is the most common and direct way to say "I don't understand.")
Informal:
* Je comprends pas. (This is a more casual version of "Je ne comprends pas.")
* Je n'ai pas compris. (This literally translates to "I didn't understand" and is used when referring to something that has already happened.)
* J'ai pas compris. (This is the most informal way to say "I didn't understand.")
Other options:
* Je ne sais pas. (This means "I don't know," but can be used to express that you don't understand something.)
* Je ne comprends rien. (This means "I don't understand anything.")
* C'est incompréhensible. (This means "It's incomprehensible.")
The best way to choose the right phrase depends on the situation and your relationship with the person you are talking to.