There has been quite a few discussions on immutability lately. Patrick has written an excellent blog post summarizing some of the various thoughts on immutability along with a cool feature in NDepend to do immutable queries. The only thing that I would add is that immutability is definitely something to consider early on in the design process. It's much easier to start with a design that promotes immutability, rather then to try to graft immutability into an inherently imperative design.
Next time I will post on a specific bug that we had in the VB compiler that would have been prevented if the VB compiler implementation was designed to be more immutable then it is today.