I love
Sting of Shelob - it's one of my favourite cards ever printed. Not because it's especially good, but because it's fun and well designed.
I think the timing goes like this:
1) Cost of SoS is met (ie. removing
, spotting Shelob).
2) The effects of the card take place in the following order (given by the card):
i) The Free Peoples player chooses 2 companions.
ii) The Free Peoples player puts one of those companions into their hand and the other in their dead pile.
3) Threats trigger.
I could of course be wrong, but I think the companion going to the dead pile and the companion returning to hand happen at the same time so threats are triggered only after the companion has been bounced.
Thranduil