Yes, the immortals do not bleed normal blood. They have ichor in their veins... ich.

When Aphrodite was stabbed... she bled ichor all over the beautiful robe the Graces had made for her.

Ambrosia is the food of the immortals.

Aither was just a trick answer. It just sounded like it might be confused with immortal blood... maybe not.

These fun facts were taken from The Iliad and The Odyssey.