«E daí» (acute accent) means "so what." For example, one guy is telling his friend about how he bought a new shirt which happens to be pink. His friend says, «Uma camisa rosa?!», and the first guy says, «E daí?».
«E depois?» is more like "and then, what happened next," to continue the conversation. For example, someone is telling a story: «Quando chegámos perto da casa assombrada (haunted), batemos à porta.», and the listener says, «E depois...?».
«E então?» would be equivalent with «E daí?»; they're interchangeable. So, perhaps a mom is worried about her son who hasn't come back home yet, and it is late. When he finally gets back home and tells her that he went to the city, which is a bit far, with his friend, the mom might say, «Tu foste para tão longe com o teu amigo a esta hora da noite?», and he might reply with «E então?».
However, the word «então» is a tricky and versatile word in Portuguese; I often have trouble translating it in certain contexts. Sometimes, «então» can mean "then," such as in "(Ever) since then..." = «Desde então...».
Oh yeah, that's like one of Portuguese's most used go-to words. It's perfect when you want to say "What's up" to someone, like a friend: «Então?». You wouldn't want to use it for someone whom you would address as «você», as that would be perceived as extremely rude. In those cases, only when «então» actually means "then," "so," or "well" would using the word be acceptable:
«Então fomos ao refeitório e o professor nem imagina o que estava a acontecer...» = "So/Well we went to the cafeteria, and you [the teacher] would never guess what was happening..."