Immortals in Warcraft are generally resistant to sickness and injury, but immortality does not confer invulnerability. Immortal beings can still be wounded and even killed. Indeed, many immortals have perished over the course of recorded history, particularly during the War of the Ancients. The death of an immortal is just as real as any mortal death and, barring a few extraordinary cases, just as permanent.
What, then, does the term immortality mean in Warcraft? Immortal creatures essentially stop aging when they reach adulthood, and thus, they cannot die merely from old age. In addition, they tend to be more powerful than most mortal creatures, although this tendency does not always hold true. Even godhood itself is no guarantee of superior might. Consider the titans' defeat of the Old Gods. The titans are not gods, but their vast power allowed them to imprison the Old Gods far below the surface of Azeroth.
Furthermore, immortality need not be a lasting state of affairs. The night elves, for example, were immortal for thousands of years, but sacrificed their immortality during the Third War. Today they are a mortal race, and they are accordingly classified as such, rather than listed herein.
There are also quite a few races and individuals who have attained immortality after leading a mortal existence. Most demons in the Burning Legion were once mortal creatures.
Last but not least, there are creatures that can be considered nearly immortal. Technically these beings are mortal, but for one reason or other, they have a lifespan that greatly exceeds several millennia. Indeed, these mortal creatures might even be considered effectively immortal due to some external factor, as with Ysera's consorts, who almost never emerge from the Emerald Dream.