An object qualifies as being called immutable if its value cannot be modified once it has been created. For example, methods that appear to modify a String actually return a new String containing the modification. Developers are modifying strings all the time in their code. This may appear to the developer as mutable – but it is not. What actually happens is your string variable/object has been changed to reference a new string value containing the results of your new string value. For this very reason .NET has the System.Text.StringBuilder class. If you find it necessary to modify the actual contents of a string-like object heavily, such as in a for or foreach loop, use the System.Text.StringBuilder class.
Vladimir Roubtsov has an excellent article the covers this topic in more detail.