When a player uses an effect that prevents targeting individual creatures or other permanents, it does not prevent the targeting of All creatures or All other permanents.
For example:
A 1/1 White Soldier (let's call him Snowden) might have "cannot be the target of Spy spells or effects" as a power.
But a card that affected all creatures (Wrath of God, etc) would still destroy him.
As would any effect that caused his his current player (Russia) to sacrifice him.
Targeting all vs Targeting individuals
For example:
A 1/1 White Soldier (let's call him Snowden) might have "cannot be the target of Spy spells or effects" as a power.
But a card that affected all creatures (Wrath of God, etc) would still destroy him.
As would any effect that caused his his current player (Russia) to sacrifice him.
These rules are detailed here, under targeted effects: http://archive.wizards.com/Magic/tcg/article.aspx?x=magic/rules/div>
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