The thing is, some of these immortals don't have to be immortals. Jennifer Ashley's Pride series, for example, make it a point to let me know again and again that her shifters live much longer than humans. But why? This aspect doesn't enhance the woo-woo mojo of the shifters. It feels like just another one of the dishes in the UF kitchen six ("need to have sex every ten minutes" - check, "lives for 300 years and more" - check, "runs a night club full of vampires" - check...). It is one thing if we are talking about godly heroes or heroines, then yes, maybe they are immortals. Or we have dragons or something that live for a long, long time. But when even werewolves are becoming immortals just because, I can only scratch my head.
I mean, what's the allure of immortality anymore? It's not enough for the heroine to become a sparkling vampire that turns into a white wolf when the moon is full while dancing naked with unicorns by the last page, she also has to become immortal? Immortality is boring. Anne Rice had it right when she portrayed the ancient vampires in her books as so bored with life that they eventually withdrew to take long hibernations - there is just no point of existing when you've done everything and anything and all you have in the end is time.
At any rate, right now I'm more interested in UF with human - or at least, characters with human frailties - rather than UF featuring heroes with the biggest penises, the largest swords, the highest alpha rank, and the hugest ego. There is no suspense in stories where the hero (let's face it, it's always the heroes who are guilty of this) can do everything and anything and still have time to spend 23 hours a day in bed with the heroine. Kinda like the hero in the movie Priest, I guess - talented, capable, but ooh, definitely can be defeated in a battle with the bad guys and has plenty of sad undercurrents.