HEROIC ICON - BULLETS AND BRACELETS: When Wonder Woman would be targeted by an opposing character's attack, place a Heroic Icon token on this card and then you may remove 2 Heroic Icon tokens from this card. If you do, until your next turn she and friendly characters adjacent to her can't be targeted by range attacks.

OK sorry about the weird formatting. I ruled the other day that as soon as she is targeted Wonder Women could remove 2 tokens and thus not be targeted. Was I right?

Yes.

The effect triggering "when" she "would be" targeted resolves immediately and would make her an illegal target (assuming you chose to remove the tokens.)

Thanks Zandig, I had a hard time explaining this.

No problem. I am back at my desk now instead of on my phone so here are the relevant sections from the rules. Pages 9, 14:

Her effect functions similarly to Shape Change, but obviously has some extra restrictions and needing built up Icon tokens, etc.

Maybe it's just me, but I feel like it's often taken for granted that when a 'would be' target isn't, you always get to aim for someone else. My understanding here is that the attack just fails and there is no option to choose someone else. Agree? If not, why?

Correct. The section Zandig quoted covers why you don't always get to choose another target.

I’d like to point out that WW and company “can’t be targeted” only in the event the attack is a Range Attack. She can totally be targeted by close attacks as well as opposing perplex and outwit.

The Heroic Icon power allows her to place a single HI token on her card and then remove two from it. THEN she and adjacent friendlies can’t be targeted by Range Attacks until her next turn.

Its entirely possible though for this to occur:

1. WW is targeted by close attack.
2. HI token placed on card.
3. Two HI tokens removed from card (if possible).
4. WW is attacked.
5. WW and adjacent friendly characters cannot be target of Range Attacks until her next turn.

I didn’t notice this mentioned and just wanted to cover it in case people misread the power and think she can’t be targeted by ANY attacks.

That was the extent of it being mentioned since the question was about the timing of the trigger and the effect applying. I don't think anyone was confused by that part of the effect since it is explicit in the wording, but still appreciated since it is easy to miss that part