Use this phrase at the end of a yes/no question when you're a little annoyed and you want an immediate answer. For example, when you're shopping with someone who's taking a long time to decide, you ask:

Are you going to buy it or what?

In the example at top, the speaker is annoyed that the woman is late, so he asks "Is she coming or what?" This sentence expresses the idea that he doesn't want to wait for her much longer.

"...or what?" isn't used in written English.