If it is Come Back Wrong, then yes, the destruction and returning happens during the spell's resolution, before the Spider's trigger can even be put on the stack.

Rezzahan, I'm pretty sure they're referencing Come Back Wrong, so it wasn't done during biggbenn's turn. I'm guessing that since it's all one effect on the spell it takes priority, but you know more on how that works.

It is a trigger, and triggers use the stack and can be responded to.

If your opponent had his own trigger, with which to return your creature, then it comes down to APNAP order (Active Player Non-Active Player). The active player's triggers go on the stack first (and thus resolve last), then the non-active player's triggers are put on top. So if your oponent had his own triger, and destroyed your spider during your turn, he gets the Spider, because his trigger resolves first.

There are no "fast effects" in Magic. Only a scarce few things are immediate, like using mana abilities (abilities that produce mana, with some extra caveats), returning a card from a temporary exile (like from Banishing Light), special actions (like turning a face down creature face up, or playing a land), applying continous effects to objects entering the battlefield, etc. This list is not exhaustive, but doesn't include much more. Most game play actions use the stack and can be responded to.