My opponent casts Banefire, targeting me for lethal damage. In response, I cast Aegis of the Gods (with flash due to some other effect). I am now hexproof. After it resolves, my opponent kills Aegis with a Lightning Bolt. Am I still being targeted by Banefire? Is the legality of targets checked continually, or just when the spell goes to resolve?
You're still a legal target for Banefire and will be roasted to a crisp soon enough.
The legality of a spell or ability's targets are only checked twice: The first time is during the casting process, where they must all be legal for the spell to be able to be cast / the ability to be activated. The second time is when the spell or ability is about to resolve.
They aren't checked at any point in the interim, so even though you wouldn't have been a legal target for Banefire had it resolved while Aegis was still on the battlefield, that doesn't matter because neither of its legality checks happened in that window of time.
