To my knowledge the only item ingame that grants immunity is [Light of Elune] from an Alliance quest in Ashenvale. Just wondering if there are any others. - Idocreating
Added sentence on Nether Protection. ---Xadaver 22:14, 5 March 2008 (UTC)
Removed sentence on nether protection, does not remove shadow or fire debuffs ---Xenutu 18:13, 12 April 2008 (UTC)
Not sure if people are aware of this, but the Mage spell 
[Blink] creates an effect which gives immunity to everything for a very short time (>1 second), when it is cast, but doesn't remove DoTs. This is what prevents damage when you cast it just before you hit the ground and you take no damage.