There's this random guy names Hjornskar Head-Smasher i found who had a bunch of Stormcloaks with him who attacked me. I have managed to kill all of them except this guy. When his health drops down all the way, he just falls to the ground and sits there until his heath regenerates. Is he immortal and i should just run or what?

He's obviously a "Essential" character, part of a quest or something. NPCs that are "Essential" can't die, at least not until the quest involving them is complete.