Expansive doesn't help in expanding. It helps for having big honkin' cities, which you rarely get when you expand quickly. And Immortal rushes kicks arse, my only win on Immortal was with Cyrus.
The thing about countering them is that there's no time. You can start training them really early, they're cheap as dirt and you have to declare war as soon as you can and head for any horse or copper resource your opponent might have. Any useful units your opponent managed to train before you do that will die in a massive onslaught that won't cost you that many troops.
The biggest problem is affording all those immortals trying to heal up from battle.