Rules FAQ:

• This is not a save effect. You can use this card to return a character to your hand even if it is killed by an effect that says "cannot be saved" (e.g. Wildfire Assault).

• The affected character is not returned to your hand immediately upon the resolution of this ability. Rather, it creates a replacement effect that modifies what happens when the character is killed. After all interrupts to characters leaving play have resolved, the character is killed and returns to your hand (instead of being placed in your dead pile). So if your opponent triggers Bastard Daughter or Ser Waymar Royce after you trigger Spears of the Merling King, the affected character cannot be discarded from your hand, because it is still in play.