What happens when an opponent plays Defy to Thrill of the Hunt? Do I pay the cost first (banish a unit) and then it can't come back because of Defy, or does the Defy stop me from banishing a unit? How can I know if a card is pay cost first or not?

When your opponent plays Defy in response to your Thrill of the Hunt, your spell is countered. Here is exactly how that sequence unfolds and why:

The Sequence

1. Playing Thrill of the Hunt: You play the spell, paying its costs. It is placed on the chain as a Finalized Chain Item. At this point, you have not yet banished a unit.
2. Opponent plays Defy: Your opponent plays Defy, targeting your Thrill of the Hunt. Defy is placed on the chain on top of your spell.
3. Resolution:
   • Defy resolves first (LIFO — Last-In, First-Out).
   • It counters Thrill of the Hunt.
   • Per Rule 425.1.a and Rule 425.1.b, a countered spell is immediately cleared from the chain and is not considered to have been played.
4. Result: Because the spell was cleared from the chain, it never reaches the point where it executes its text. You do not banish a unit, and you do not get to play the unit back to a battlefield.

Do you pay costs first?

You already paid the cost to play Thrill of the Hunt (the 2 Energy and 1 Power) when you initially placed it on the chain in Step 1. Per Rule 425.1.c, countering does not refund any costs paid. You lose those resources. However, you do not banish a unit because the "banish a unit" instruction is part of the spell's effect, which is negated by Defy.

How to tell if a cost is "pay first" or "part of effect":

You can distinguish these by looking for a few specific indicators in the card text:

• Costs to play the card (The "Step 4" cost): These are listed in the upper left corner of the card (Energy/Power). These are always paid when you first announce and place the card on the chain.
• "As an additional cost": If a card says "As an additional cost to play me, [do X]," that action is a cost paid when you play the card. If the spell is countered, that cost is also gone (Rule 425.1.c.1).
• "When you play me" or instructions in the text box: Anything written in the main text box of a spell is considered part of the effect. These effects happen only when the spell resolves.
  • Thrill of the Hunt says "Banish a friendly unit, then..." This is an instruction in the effect text, not an additional cost. Therefore, it only occurs if the spell successfully resolves.

In summary: If it's written in the text box under "Ability" (except for specific keywords like "Equip"), it is an effect that happens on resolution. If an opponent counters the spell, the effect never triggers, and you don't have to perform the actions listed in that text.