When the creature enchanted by {Gift of Immortality} dies does it go to the graveyard or not? Because playing with it I'm wondering if they can't use an instant to exile it from graveyard in between death and return to battlefield?
The affected creature will first go into the graveyard, at which point {Gift of Immortality} triggers and brings it back into play.
Since it uses the stack, it can be responded to by exiling the card while it is in the graveyard.