What's the catch? = This sounds very good. So good that I do not believe it. What is it that you are not telling me about this wonderful thing?
For example:
Borrow $10,000 and make payments of only $50 a month!
What's the catch? The catch is that you will be making payment for 30 years!
Or: Come with me to the football match! I have a free ticket for you. We have great seats. I'll buy you dinner afterwards.
What's the catch? Well, my really obnoxious cousin in coming too and your ticket is next to his. I'll be sitting with my girlfriend somewhere else.