I'm not very familiar with Immortals yet. I understand they're great against tanks. Do Zerg have units that Immortals are useful against?
Immortals do 20+30 vs armored; zerg have the following (ground) armored units:
People tend to forget about that last one.
Many zerg s like to turtle and improve their macro and spine crawlers are a good choice for this as they can be moved. Spine crawlers have a range 7 and do bonus to armored. Now truthfully you can out range them with thermal lance, but as colossus are vulnerable to corruptors tis isn't always viable. By comparison an Immortal reduces spine crawler damage by 66%, making it a welcome addition to stalker heavy play against a turtling Zerg.
After the recent Roach buff many Zerg are switching back into mass Roach. I highly recommend Immortals vs mass Roach. While Colossus is a better choice against Roach/Hydra, mass Roach is very effective vs Colossus. Tunneling claws means you can often catch them out of position and since Roaches are cheep on gas, Corruptors are very affordable.
Just remember if you do go Immortals vs Roaches, keep the Immortals in the back so they don't get focused down.
Immortals is not a unit you should mass vs zerg, and hard to micro too.
They're slow, and you need to put them in such a position that they can shoot roaches but not get torn apart by lings.
You can build one or two occasionally if you see them massing roaches, but beware, they're hard to transition out of (if you build too many). Collosi is a better bet in general.