A Forth word marked IMMEDIATE is executed by the compiler (":") immediately upon being encountered, rather than being threaded into the compiled code.
This is used by all words that must perform some compile time actions. Even Forth comments are just words marked IMMEDIATE (their action is to skip to the end of the comment)! More serious examples include all the flow control words, like IF/ELSE/THEN: IF pushes an address onto the return stack, compiles (IF) and leaves an address for the use of ELSE and/or THEN.