You are never immune to everything. There is always a way around Insubstantial. If you think of Insubstantial as shifting your physical self to a slightly different plane, you could still be hit if some one managed to get to the same plane you are, or zapped you with a broad spectrum energy burst that affected multiple planes at a time. Also, don't forget mental attacks....
Multi attack is always good for a combat Gumby
Which version of DC are you using btw?