I played Rengar Pouncing as a reaction using Rengar's legend I made it a +1. The other player, running Annie, played Gust as a reaction to me playing Rengar in an attempt to bounce Rengar back to hand. How does this play out?

To determine how this interaction plays out, we must examine the timing of the chain, the targeting requirements of Gust, and the current Might of Rengar, Pouncing.

Summary of the Sequence

1. Rengar is played: You play Rengar, Pouncing. Per Rule 359.2, he enters the battlefield immediately upon being played.
2. Rengar's Might: Rengar, Pouncing enters with a base Might of 3. Including your +1 Might buff, his current Might is 4.
3. Gust is played: After Rengar has entered the battlefield, your opponent plays Gust, targeting Rengar.

Ruling

Gust will resolve but will have no effect on Rengar, Pouncing.

Reasoning

• Targeting Legality: According to the card text of Gust, it can only target a unit with "3 might or less." Because Rengar has 4 Might, he is an illegal target for Gust.
• Resolution: According to RiftJudge FAQ #36 and Rule 359.3.e.5, when a spell resolves, it checks its targeting requirements. If the target no longer meets those requirements, the spell resolves but fails to execute its effect. Since Gust's only instruction is to return the unit to hand, it simply does nothing.

Disclaimer: This is my interpretation based on the card text for Rengar, Pouncing and Gust, and the general rules regarding targeting and chain resolution. Note: I could not fully verify this ruling against the retrieved rules.