The Immortals are a category of transcendental beings who exist outside of reality and observe the universe. The best known are the Blue and Orange Wardens who separately sought the Bolt of Space and tricked the Fourth Inspector and Lunda into doing the job for them in Season 16. Anothers are the Tinker, who opposed the First Inspector and the Prankster, the overarching antagonist of The Mary Sue Predicaments.
They have all kinds of impossibly powerful capabilities, but whereas one Immortal might try to improve the universe, another would be trying to destroy it, which makes them mostly useless.
It is possible to become an Immortal, as did Lily Taylor when she changed into the Good Lamb in "The Intersection of the Parallels". Sassafrass tried to become one, along with his cohort of Infinity Knights, but they were stopped in "The Last Minutes".