For Ghaston Grey, is the Martell character returned to hand targeted, or part of the activation cost? If the chosen card to be returned is a Stark, could Master Vyman cancel the effect?

Alexander West said:

Returning the Martell character to your hand is the cost for the effect (costs are always X in any "do X to do Y" construction). Only the effect has a target (your opponent's character). The word "choose" indicates the target of an effect. So if the Martell player chooses a Stark character as the target for Ghaston Grey's ability, Maester Vyman can of course cancel the effect. If the effect is cancelled, the Martell Noble remains in your opponent's hand, because as said before, returning it to hand was the cost to initiate the effect in the first place, and costs remain paid even if the effect is cancelled.

Note that, because paying the cost is part of the initiation of an effect, you can never save a character from leaving play as part of a cost.