"What should I do?" is a question that asks for advice on what is the correct or best thing to do in a specific situation. It does not say anything about what will actually happen, just asks what would be the right thing to do in that situation. "What I should do" is part of a sentence, for example, "I know what I should do". It is a statement that indicates that the speaker knows what the correct or best thing to do is. "What should I do?" is used when asking someone for advice on what they think is the best thing for the speaker to do. "What I should do" is used when the speaker knows what the correct or best thing to do is.