Punctuating "What are you going to do, sue me?"

For example:

What are you going to do, sue me?

Is that correct? Or is there supposed to be a question mark after the first question:

What are you going to do? Sue me?

It seems like "Sue me?" is not a complete sentence. Did I have it right the first time?

"What are you going to do sue me?" seems too abrupt though; shouldn't it have a comma?

A comma indicates a brief pause, or delineates subordinate or relative clauses within a sentence.

Speech tends to be more informal – you can certainly use a comma as per your example.

You could also use a dash like so:

What are you going to do – sue me?

See http://oxforddictionaries.com/words/dash for more examples.