Q:

What should I say when I hear the Aazan?

As the question says: What should I say when I hear the Aazan (Adhaan)?

A:

It is Sunnah to repeat the adhaan word by word when you hear the Mu'adhin's voice because the Prophet (peace be upon him) said:

When you hear the Mu'adhin, repeat what he says word for word, then
  invoke Allah's Blessings and Peace upon me, for whoever invokes
  Allah's Blessings and Peace upon me (once), Allah will send His
  Blessings and Peace tenfold upon them. Then ask Allah to grant me
  Al-Wasilah (the most superior degree in Paradise), for it is a rank in
  Jannah (Paradise) that is granted to only one of Allah’s Servants, and
  I hope I will be this one. Whoever asks Allah to grant me Al-Wasilah
  will deserve my Shafa`ah (intercession). [Sahih Muslim 384]

More: Ruling on repeating Adhan after the Mu'adhin 

