can a character that is immune to an effect still be chosen as the target of that effect? I'll give an example.

lets say I have 2 characters in play, cat o the canals and hodor. ''marched to the wall'' comes up. do I have to discard hodor, or can I choose cat as the target of the plot card and discard no one since she is immune.

You cannot choose a card to fulfill an effect if it is immune to that effect

a common example is when Power of Blood is a revealed plot card and you lose a military challenge on defense and have a noble character in play. You must kill another character for claim -- you cannot choose the noble character and then avoid claim entirely bc the noble character cannot be killed.

In general, "immune to X" means two separate things:

1. The immune card cannot be chosen as the target of X.
2. The immune card ignores any direct effects X would have on it, targeted or not.

The direct answer to your question in #1.