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Immortalsby Christopher Richard Davies
Immortals: First of all, a terminological note. In 4E, per the Monster Manual's glossary, "immortal" is a creature origin which indicates that the designated creature is "native to the Astral Sea ... [including] angels, devils, and other creatures with strong ties to the gods. They do not age or die of natural causes." (MM4e, p. 283) To avoid confusion, I'd suggest using the term "exalted" to describe such creatures in discussion about Mystara.
"Immortals", then, are the class of creatures that includes, but is not limited to, those who are worshipped as gods by most of the beings of the world. "Immortality" is the quality gained by every creature, throughout history, who has successfully achieved an Epic Destiny, whatever of what that Destiny constituted. They all become powerful creatures of the Astral Sea, but (as indicated) not all of them seek worship or answer prayers. But they are all remembered forever, in some form or another, by the creatures of the world they left behind.
The Spheres: The four "spheres of power" are the four largest dominions in the Astral Sea. They contain the majority of the other dominions, being akin to planets on which the dominions rest like nations, or continents. In theory, all the Immortals within a sphere owe allegiance to that sphere's "Hierarch". In practice, there is a great deal of infighting and outright rebellion among them. And all the spheres include Immortals whose ideas run more towards tyranny and hatred, rather than cooperation and coexistence.
Each of the spheres corresponds to one of the four major power sources employed by mortals. The Sphere of Energy is associated with the arcane power source, as arcane powers draw on all the energies of the cosmos. The Sphere of Matter is associated with the martial power source, as its powers work through purely material means. The Sphere of Thought is associated with the divine power source, which draws on the essence of the astral plane, a plane of pure thought and ideal. The Sphere of Time is associated with the primal power source -- the nature it embodies, and its cycles, can only exist within time. Of course, there have been those who achieved Immortality in a sphere while using a power source other than that associated with that sphere, but their paths were generally much more difficult.
The Old Ones: These are the gods who shaped the world made by the primordials, and who then fought to protect the world from the forces of Entropy. "The primordials formed the world from the raw materials of the Elemental Chaos. Looking down on this work from the Astral Sea, the [Old Ones] were fascinated with the world. Creatures of thought and ideal, the [Old Ones] saw endless room for improvement in the primordialsí work ..." (DMG, p. 161) Yet there was more than simply ambition or a creative impulse at work here. For all their power, the Old Ones lacked the ability to procreate. They could create lesser life forms, but such creations would never be able to equal or surpass the Old Ones.
But, as the world began to take form, certain projections -- divinations, as they would be considered -- suggested to the Old Ones that the potential creatures who might come into being there, might also be able to transcend their mortal limitations. And, having done so, they might then be able to transcend the limitations of mere immortality as well, to join the Old Ones in their many projects. These beings have moved on to other realms, leaving the world in the care of the Immortals who have risen from Mystara's native species.
At least, that is the official story; some among the Immortals believe that two of the oldest of their number, Ixion and Thanatos, are Old Ones who have not, for whatever reason, moved on. Another rumour claims that, if an Immortal were to reincarnate him or herself as an infant mortal on Mystara and achieve a second Epic Destiny, then that Immortal would be considered worthy to join the Old Ones. The truth of these claims is known only to the Old Ones themselves.
Entropy: Entropy is, according to the Player's Handbook description of the various alignments, that which is sought by those who are Chaotic Evil. This is the alignment of demons, as well as the other forces of the Elemental Chaos. It also includes outcasts from the four spheres of Immortals. Unlike those spheres, however, Entropy does not have a hierarch. The very nature of these beings prevents there from ever being such an establishment. Instead, the various powers of entropy always contend against each other as much as they act against the Immortals. But there are many, many more of them.