On a card that has Response: After you play..., does the response trigger during the same action as the marshaling? Or does the marshaling action get fully resolved before the response triggers?

Specifically, the situation we ran into was this: I play Balerion, my opponent then plays Nightmares to blank his text box. Is Nightmares too late to cancel his kneel everyone response?

The timing structure you're looking for is described in detail in the FAQ - if you're not familiar with it, have a look (http://www.fantasyflightgames.com/ffg_content/agotlcg/support/LCGFAQ_3.0_Low_res.pdf). In this case, "Nightmares" is an "Any phase" action, while Balerion's ability is a "Response". What happens is

1. You play Balerion (your action)
2. (Save/Cancel Repsonses)
3. Action resolves (Balerion enters play)
4. Passives triggered by Balerion entering play are triggered and resolve.
5. Reponses triggered by Balerion entering play are triggered and resolve.
6. Moribund cards leave play, action window closes.

THEN he can play "Nightmares" as his player action (starting a new "1. He plays nightmares").

In short, those responses are part of the same player action window (As are any passives, or passives triggered off passives, or passives triggered off responses, or responses triggered off passives - the list goes on) - you have to get to step 6 of the action window (action window closes) before your opponent gets a turn to take a player action (like an Any Phase action, eg, playing Nightmares).

Great, thanks. We were unclear as to whether cards could be played during step 5 of the action window. After re-reading it, it's apparent that this is not the case.

Whoops, double post.

Just a quick note; cards (typically events) can be played in step 5 of the action window, but only if they are "responses". Nightmares isn't.

Two of the more helpful general concepts for dealing with situations like this are:

1. All actions must resolve completely before another action can be triggered.
2. Responses are not actions in their own right, but considered part of whatever action they are Responding to.

Putting those together in the "After you play..." situation, you get the result already described: Playing Balerion (Action #1) must resolve completely before your opponent can play Nightmares (Action #2). Balerion's Response to him being played (Action #1) is considered to be part of the overall action of playing him, so must happen before Nightmares can be played.

(Technical walk-through for an answer you already had. I know, not adding much here, am I?)

Thanks to the both of you. This makes things must easier to understand.

If Fortified Position is in play, Balerion's response does not trigger, right?

Yes. The plot's constant effect to blank text is applied as soon as the character comes into play. Therefore, the text is gone by the time you get to the Response step.