Magma Spray

[Nax]

Magma spray targets phantasmal bear, which sacrifices itself, does it die or exile?
Magma spray targets Segmented Wurm, which already has four -1/-1 counters, does it die or exile?

[Arix]

In both cases, they die. The abilities on those creatures resolve before Magma Spray. When Magma Spray begins to resolve, it sees that its only target is illegal, and it gets countered.