Scam: Apple called me and said there was a iCloud breach, what should I do?

Ignore it and hang up or don't answer if they call again. It isn't Apple that is calling. Apple does not make unsolicited phone calls. The caller id may show an Apple number but scam callers spoof the number shown in the caller id. Also see: Avoid phishing emails, fake 'virus' alerts, phony support calls, and other scams - Apple Support

If you entered or gave you Apple password, change it (if they haven't beat you to it). See: Change your Apple ID password - Apple Support

If you can't change it, see: If you think your Apple ID has been compromised - Apple Support

If you gave out your credit card information, contact their customer service.