Specifically, a capsuleer is only ‘immortal’ when she is in her pod. When the capsuleer is in pod, if she gets killed, the capsule itself takes a “snapshot” of her mind in its present state and then transfers all that data (memories, skills, etc) into her medical clone. Meanwhile, if a capsuleer is shot in station, planetside, or literally any place but her pod, she’s just as dead as any other human.
OP: Probably the biggest collection of lore is on the Backstage Wiki: https://wiki.eve-inspiracy.com/index.php?title=Main_Page
The ‘Chronicles’ are mostly the same as in Nana’s second link, but also the ‘Lore’ button on Backstage takes you to things like capsule-clone technology, planetary technology, and cultural customs both in space and planetside.
I’m pretty sure there’s a pinned topic with a lot of lore links on this forum too. // Edit: Here it is EVE Lore FAQ & Lore Resources Megathread