If my opponent plays Punch first on a 2 Might unit, can I use Gust as a reaction? Will the Gust go off and the unit get sent back before the Might bonus goes into effect?

Yes, you can react to Punch First with Gust, and your Gust will resolve first, returning the unit to its owner's hand before Punch First can resolve.

The Sequence of Events

1. Opponent's Action: Your opponent plays Punch First targeting your unit (which currently has 2 Might). This creates a "Closed State" on the chain.
2. Your Response: You play Gust targeting that same unit.
3. The Chain (Bottom to Top):
   • Punch First (Bottom)
   • Gust (Top)

Resolution (LIFO - Last-In, First-Out)

According to Rule 359.3.e.7 and standard chain resolution, the top item resolves first:

1. Gust Resolves: It checks the target. Since your unit is currently at 2 Might (which is 3 or less), the target is legal. The Gust resolves and returns your unit to your hand.
2. Punch First Resolves: It checks for its target. Because your unit is no longer on the battlefield, the target is now illegal/unavailable. As per Rule 359.3.e.7, the spell "whiffs" and its instructions (giving the unit +5 Might) are ignored.

Note: This is my interpretation based on the mechanics of the chain and targeting legality. No official FAQ exists for this specific card interaction, but it follows the established rules for target legality checks at resolution found in the provided FAQs (e.g., FAQ #36, #3378).