Plot hole: If Walter was indeed immortal from his deal with the devil then there was no reason for him to use the Escape Clause when he was sent to jail. Since he can't be killed by any means and nobody can harm him there would have been nothing to stop him from escaping the prison the moment his cell was opened.
Suggested correction: He may be immortal and not feel pain, but he isn't super-strong and can't walk through walls or people, so escaping wouldn't be trivial. That isn't to say it'd be impossible or even that hard, but this is a man who got centuries of perfect youth and health, and all he could think of to do were things that would kill a normal human (even though, again, he can't even feel pain.) He also confessed to murder to experience the electric chair, not considering that they wouldn't just let him walk away when he survived execution. He's a short-sighted, unimaginative moron, and that's probably why the devil chose him.
Suggested correction: Walter uses his Escape Clause because he doesn't want to live forever in a prison cell. Even if he could escape at some point, he's not willing to spend any time behind bars waiting.
