Admitting total ignorance

Sometimes you have no idea what's going on and you just need to admit it. A smile and a laugh will help reduce the awkwardness.

"Sorry, I'm totally lost."

"Sorry, I lost the thread of the conversation" or "I lost the thread of the lecture."

"Sorry, what are we talking about exactly?"

"Sorry, I just spaced out. What are we talking about?" (This is quite informal -- I wouldn't use it with a professor unless you're on very friendly terms with them. Better used among classmates.)

"Sorry, where are we?" / "Wait, where are we?" / "Sorry, what are we looking at?" (asking what part of the text we're looking at)