I like how hillbillies pronounce this relative pronoun: hwut. It’s truest to the spelling and the history of the word. Wally Cleaver pronounced it that way, too. He said hwen and hwere and hwy? A well-brought-up lad he was.
The monks who introduced the Roman alphabet into England, to evangelize the pagan Saxons and teach some of them to read, were faced with an obvious problem. How do we use these Roman letters to signify sounds and sound-combinations that don’t exist in Latin? They actually did a phenomenally good job of it. They heard the Saxons pronouncing words—quite a lot of them, and some very common words among them—that began with an aspirated w. Round your lips, make as if you’re going to hwistle, blowing air out and saying witch. Did you hear it? You just turned it into which. Do the same with wail. Shazzam! You have pronounced whale.
The monks were sensible and careful men, so they placed the h before the w, hwere it really belonged. Our modern wh-words were, in Anglo Saxon, hw- words. What was one such: hwaet.
Hwy is that important? Well, suppose we want to find relatives in Greek and Latin. We want to know hwich consonant really begins the word. In this case it is h. So we apply Grimm’s Law. That law says: Never gather salad greens from a witch’s back yard. Actually, it instructs us, among other things, that words in Germanic that begin with h are the cousins of words in Greek and Latin that begin with c (k). So it is with hwaet. But in Latin, hwen a c sound is followed by the consonant w, the result is spelled qu-. There’s our cousin: Latin quod, what (Grimm also tells us that Germanic d = Latin t). A related word, whit, recalls Latin quid, as anyone with a hwit of wit (not related to whit or what) would conclude.