Which do you prefer? Apples or oranges?
Which do you prefer, apples or oranges?
Which do you prefer—apples or oranges?
All are acceptable. The main difference is in how they affect sentence flow, which can have an impact on the feel of your writing. Generally, the comma would affect flow the least (i.e., it has the least amount of "slowing" power) and the question mark would affect it the most, with the em dash lying somewhere in between.
The first is not strictly grammatical since 'Apples or oranges?', will not stand alone as a sentence (it has no verb), let alone as a question.
The second and third examples are, in my view, correct and equally acceptable.