I have a theory that Highlander-style immortals are outcast angels. Allow me explain:
Well, we know how that story goes: Lucifer lost, and he and his minions were cast into hell. But what about the third who did nothing?
According to my theory, they were punished for not choosing to stand with God, but since they didn't actively rebel against God, their punishment needed to be less than everlasting damnation. Since they did not choose a side -- and since the one of the biggest themes in the Bible is "Free will, even if you choose to do the wrong thing" -- this undecided third would be made to choose good or evil, Heaven or Hell.
To this end, they were stripped of most of their angelic powers, cast out of Heaven and sent to Earth in mortal bodies (remember, all immortals are foundlings) with no memories of ever being angels. The various ages of immortals, and their appearance throughout the ages, can be explained by "Time is different in Heaven so it took some of them a while to arrive and in fact are still arriving" and/or "God didn't want to dump a third of the Host onto Earth all at once, so he spread them out."
So now, those angels who once stood by and passively watched are now watched by others (ironically called "The Watchers"), and are compelled by their natures to fight and kill until There Is Only One.
The Prize, of course, is the entire fate of the outcast third. After winning the Prize, the last living immortal is judged by his character, and thereby redeems or damns the entire lot of them. It is effectively an eons-long Trial By Combat. If a good immortal like Connor or Duncan wins, they are accepted back into heaven. If someone like the Kurgan wins, they're damned to hell for all eternity.
When you think about it, this explains so much about Highlander mythology.
- Why can't they fight on Holy Ground? Because God said so.
- Why do 99% of them use swords? Because angels have traditionally been depicted as using swords.
- Why does the Quickening manifest as lightning and other celestial effects? Because sky = Heaven.
- Heck, this even explains Dark Quickenings: the entire Game is "Choose good or evil", and a Quickening is the absorption of all the angelic souls into one big over-soul. If you kill a lot of bad immortals, you absorb sin-tainted souls and become tainted yourself.
The best part about this theory is that if you play supernatural RPGs like In Nomine or Vampire, you have a way to add immortals to the game without breaking the flavor of the setting.