Wills-o'-the-Wisp

If Wills-o'-the-Wisps are attacked and then use their ability to evade the attack, what happens?

Attack triggers are still satisfied (e.g. Captain Baldassare), but the attack otherwise ends (assuming there aren't any units left to fight). The attacker will not strike, and the target of the attack will not revert to the original target (if any).

If Wills-o'-the-Wisps are attacked by a oversized minion, and then Wills-o'-the-Wisps teleport to a nearby location that the oversized minion still occupies, does the attack continue?

Yes. To actually evade the attack, they must teleport to a location that the attacker doesn't occupy.