Chain fell between cassette and spokes, what to replace?
Yes - I've suffered the same event when the chain jumps over the cassette and you keep pedalling.  

In my case I kept trying to pedal, and the chain chewed into about 9 spokes right at the elbow.  I probably damaged the chain a bit too.  Surprisingly, the cassette seemed OK.



The fix options


replace the rear wheel - this is the most expensive, but gives you peace of mind and a warranty.   I couldn't afford this.
replace the damaged spokes.  Spokes are between $1 and $3 unless you have weird ones.  You will need a "spoke nipple tool" and whatever tool is needed to remove your cassette/freewheel from the hub of the wheel.  Simply replace the most-damaged spokes one at a time, duplicating the under/over pattern.  Once they're replaced, use the nipple tool to true the wheel.
do nothing and wait for the spokes to break.  Depending on the level of damage you might be able to ride fine for a long time as-is.




The prevention

The chain jumped over the largest cog on your cassette.  This is because the low limit screw is not set right on the rear derailleur, and it allowed the chain to go too far. 



Its highly possible your RD was "plinking" into the spokes as well, which is very close to catching a spoke with the RD and then its all badness.

The other prevention is to use a Spoke Protector, which is a clip-on ring that sits between the cassette and the spokes.



Normally made from clear plastic on new bikes, they were steel or aluminium on older bikes.  Old plastic ones go brittle and then crack and fall off.  These are also known as dork disks and while they do their job, they also offer a large flat area to side winds.

There's nothing wrong with fitting one - should be about as much as a spoke or two, available from your LBS.