Well the answer, obviously, is 'yes, they do.' But you already know this. So far as the 'how' goes, it has to do with the tensile strength of the spider's web, and its location, location, location. Then lastly, the spider's venom must be sufficient to kill the hummingbird. But then again, I suppose, were one trapped in the web sufficiently it would die just the same after a time.
More specifically, I think the spider, depending upon where you live, most likely to kill hummingbirds is what we call the 'big yellow garden spider.' These types of spiders can grow to be very large for an American spider. The are benign and beneficial in many ways. But the way they like to position themselves in relation to a local ecosystem allows for their large webs to sometimes entrap a hummingbird. And so it goes.