A phrase used when one either: (1) Does not know what is going on, (2) does not know what just happened, (3) does not know the answer to a question, (4) or simply would like to break the silence.
Usually, when said phrase is used, it is followed by a near-endless spree of other quotes such as:
1.) Psh, I don't even know.
2.) Aw hail naw.
3.) Aw hail naw, cracka.
4.) Mmm hmmmm!
The phrase "I don't even know" is best used in the classic "I don't even know" speaking tone, which may only be properly "voiced" by either a colossal, Japanese monster, a small cat/kitten, or a constantly hyper-active younger brother.
"Matt, why aren't you talking?"
"Psh, I don't even know!"