I have to agree that a blank, confused stare at most is usually second best to doing nothing. If you're in a situation, like a conversation, where it seems to be expected that you will say something, the eHell recommended quiet "... Wow." is good.
Exception: as others have noted, if someone is being hurt or bullied and you can stop it, or if someone else has been targeted by a bigoted remark that needs to be addressed -- but even then, as calmly and politely as possible (you want to end the situation on a better note, not letting the cruelty be the last word, but you do want to END it, not ramp it up).
In my experience, when someone says or does something so utterly over the top as this -- like, it takes a moment to register in your own mind, "Wow, she really did say that!" -- it's very often someone with dementia or some other psychiatric problem. No point in confronting someone like that.