The Gods.....
The immortals in Heralds of Valdemar are mainly divided into three groups, the gods from the land of Karse, Valdemar, and Shin'a'in. There are the Sun Lord, the Havens, and the Goddess. The Sun Lord and the Goddess are both immortals, while the Havens is just a concept, an idea of the heavens, where all the Heralds go to. The Goddess is the patron of all Plainsfolk, such as the Shin'a'in, Kaled'a'in...
The Sun Lord however, is a rather powerful immortal, and is one that rather enjoys taking part in the affairs of his people in Karse, sending them guides in the form of Firecats whenever they need help.
However, the Goddess is unlike him in this fashion; she mostly ignores her people, for they live in a harsh climate, and have to learn to be strong and independent, relying only on themselves, so only the shamen and Swordsworn of each clan may actually meet with her and speak with her, and even that is not very often, for one has to walk the Moonpaths to find her, and she will only appear when one's need is truly great.
However, if one is looking for spiritual beings in Valdemar, then one should look towards the Companions, strange spirit horses that are the guides, protectors, friends and mounts of all the Heralds, and they seem to be the spirits of long-dead Heralds, come back to a new form to aid their fellow Heralds.