Does Heroic trigger if you target your own creature with a spell your opponent controls?

Heroic is an ability that triggers whenever you cast a spell that targets the creature with Heroic. The controller of the spell matters, not the controller of the creature being targeted. This is explicit in the Heroic definition in the Comprehensive Rules (CR 702.107a).

So if your opponent casts a spell — even one that targets your own Heroic creature — the ability will not trigger. The spell must be cast by you, the controller of the Heroic creature, for the trigger to occur.

It also does not matter whether the spell ultimately resolves or is countered; Heroic triggers on cast (when the spell is placed on the stack with a legal target), not on resolution (CR 702.107a, 509.1).

Concrete example: You control a Phalanx Leader (which has Heroic). Your opponent casts Frostburn Weird... wait, let's use a targeting spell: your opponent casts Lightning Bolt targeting your Phalanx Leader. Even though your creature is being targeted, Heroic does not trigger because your opponent, not you, cast the spell.

If instead you cast a spell like Gods Willing targeting your own Phalanx Leader, Heroic would trigger because you are the one casting that spell that targets the Heroic creature.