To use his UU, you basically have to rush early. They do not do well VS spearmen, but the thing is, with forest rushing, you can build tons of them fast. The AI doesn't tend to build a ton of spearmen, and they do well VS archers and slaughter axes. What's more, since they are fast movers, they are ideal for wiping out enemy copper mines, which cuts off enemy spear supply. Lastly, they get defensive bonuses - something no other mounted unit in this time frame gets.
So yeah, if you aren't a fan of the early rush, they won't do much for you. But as early rushers, Immortals are spectacular. Pair this with a breakneck economy and a solid UU, and Darius is a stellar leader. And while he's not for everyone, if you like a cottage economy, his will blow anyone elses' out of the water.