Generally stands for 'What the fuck'. Most people use a question mark afterward to get the point though. Rather than using the same term for the other 'w's, who, when, where, and why, it makes more sense to actually state the word and follow it with 'tf'
Capitalization doesn't really matter.
This term can also be likened to 'What the shit?' which is more comical and has a tantamount meaning.
(Source: Urban Dictionary)