I'm playing a Reinforcement event that would put the event into play as a character, but this effect is canceled.

Does the event go back to my hand or does it go to the discard pile?

I guess it goes to the discard pile because the time it is canceled, the event has not yet became a character, so it must be treated like any other event.

Second question: what does happen to a Reinforcement event that is in play as a character when this character is killed? And when it is returned to hand?

I would say the killed even/char goes to the discard pile and the returned-to-hand even/char goes its owner's hand. Is that right?

Comm said:

Correct. It's not the same as something like Khal Drogo that puts a card into play from your hand. In that case, if the effect is canceled, the card never technically leaves your hand. He isn't "sent back" to your hand; he just never left. With the Reinforcements, you play the event from your hand and it becomes a character. Part of the "cost" of playing the event is that it leaves your hand. So if it is canceled (and the cost is still played), it has left your hand and ends up discarded if it cannot enter play as a character.

Comm said:

The FAQ says that any non-character card acting as a character always goes to the discard pile instead of the dead pile when killed (unless some other effect like "Deathbound" is involved). Other than that, it's just a character, so you treat it like a character when an effect removes it from play. So yeah, a dead Reinforcement ends up in the discard pile and a "return to hand" Reinforcement ends up in your hand (as an event card, of course).