Making an immortal character in either DC and Marvel is essentially making a bet with every other comic creator for the rest of time. You create a character that can't be killed, and in doing so, you create an unofficial challenge for everyone else, as they see if they can find a clever loophole that lets them kill the unkillable.
This competition of sorts always serves to create a damn good comic, too, as it demands that both the writer and artist involved have to go completely outside of the box in order to create a death that feels legitimately justifiable. With these demises always being mammoth moments, there's a clear level of preparation and calculation that (generally) goes into these moments, as everyone working on them is aware that they are creating an iconic part of comic history - even if it's just one of several iconic deaths that a particular character has had.
With every immortal from Deadpool to Galactus having faced at least one actual death at some point, it's amazing to see all the elaborate and crazy ways that these 'undying' figures have been offed.