All four are correct for your situation; they just have slightly different meanings.
You can also use very with any of the four choices.
Think about it: all four are adjectives, so if using one is grammatically correct, then the other three will be as well.
I would alter the sentence a little, but the way you've phrased it is not wrong.
I'd put it like this:
Wow, what a * question!
Or like this:
Wow, that's a * question!
Replace * with any of the four words; all are equally correct.
The use of what or that's focus the exclamation a little bit more, making the sentence a little more versatile, but aren't strictly necessary.
How about the differences in meaning?
The standout of the four words you're asking about is long ; the other three are quite close in meaning, but long is distinct from them.
If you say what a long question , you're remarking on the length of the content.
A long question uses a lot of words (or pictures, charts, etc.) to ask.
A question described as big , huge , or large might be long , or it might be weighty, substantial, or of great significance or importance .
A big question might be long but unimportant, long and important, or important but short.
Here's an example of a question which is big but not long : what is the meaning of life?
Big , large and huge are all extremely close in meaning, but have slightly different magnitudes.
Big and large are roughly equal
(I would rate big as slightly bigger, but this is largely a matter of opinion), and huge is significantly larger than either of the other two.
Since you want to describe the length of the content of the question, long is the unambiguous choice, but you can call it big , large or huge if you want.
People will understand that you mean the question has a lot of content, though depending on that content they might think you also mean the question is important or substantial in meaning.
ell.stackexchange.com/users/6407/Esoteric Screen Name
I'm going to say that a question with lots of content is most accurately a long question.
A big question can also be a question with lots of content as well, but it can also mean a short question that's important.
For example: The big question is not whether we have enough money to go to the movies tonight, it's whether we have enough money to pay the rent tomorrow.
ell.stackexchange.com/users/1883/BobRodes
"Wow, a very long question" is the most understandable of the original poster's four alternatives.
These two options sound even more natural:
Wow, that's a very long question!
Wow, that's a long question!
Both the exclamatory tone of voice, and the use of "Wow", make these choices informal.
The exclamatory tone, or the use of "Wow", makes the "very" redundant.
All of the adjectives ("long", "very long", "large", "big", and "huge") describe the size of the question.
The specific dimension is length, as measured in words, letters, time to read, or time to say.
Thus, "long" and "very long" are the best options.
If the question was about a very important topic, or would take a lot of effort to answer completely, it would be a "big" question.
A question about an unimportant topic would be a "minor" question.
A question that is very easy to answer would be a "trivial" question.
ell.stackexchange.com/users/9100/Jasper
You need to use your choice #1.
It was a very long question.
We would generally not use big question to mean having "lots of content" because big question is a fixed phrase (semi-fixed; fixed expression) that has a special meaning.
When we position big before question, then big is understood to mean big > adjective 2 >of considerable importance or seriousness.
We sometimes use huge in front of question to mean very big -- big in this sense of important.
We won't normally use large because large does not (at least not commonly) share this meaning.
A look through results of a web search for "big question" quickly shows its meaning, and the results of a search for "large question" quickly demonstrates that it's used rarely if at all.
ell.stackexchange.com/users/11885/Jim Reynolds
Wow, what a great question!
Of the four choices, long us by far the best.
However, depending on circumstances, more appropriate adjectives might be complicated or complex .
Since long merely describes the number of words or the time taken to convey the question, it could also mean that the person was being needlessly verbose.
(For example, some people like to include a lot of unnecessary background information before getting to the point, thus making a long question out of a simple one.)
Interestingly, the other adjectives have quite a different meaning.
A big , large , or huge question indicates uncertainty.
A: "Shall we start interviewing candidates for the project manager role?"
B:
"No, we should wait until we find out whether funding for the position is approved — and that's a huge question.
"
That means that B thinks that there is a significant probability that funding will be denied.
In addition, big question can also mean that it is important as well as uncertain: The big question on investors' minds this morning is, will the Federal Reserve raise interest rates?
ell.stackexchange.com/users/5289/200_success
Someone asked a question with lots of content, and I said  wow a very long question  after hearing his question. Was that OK? Later I was wondering which one I should use:   wow a very long question  wow a large question  wow a big question  wow a huge question     Which one is correct?
Should I say a question is "very long" or "large" or "big" or "huge"?
ell.stackexchange.com
<word-choice><adjectives><word-difference><exclamatives>
ell.stackexchange.com/questions/49086
ell.stackexchange.com/users/16099/Shaiful Islam
All of the adjectives ("long", "very long", "large", "big", and "huge") describe the size of the question.  However, if the question was about a very important topic, or would take a lot of effort to answer completely, it would be a "big" question.  A question with lots of content would be a  "long"  question.   A big question can refer to its importance. A long question is more about length. All four can be used and describe size.
A big question can refer to its importance. A long question is more about length. All four are correct and describe the size of the question.