First of all, setters and getters are an indication of bad OO. Generally the idea of OO is you ask the object to do something for you. Setting and getting is the opposite. Sun should have figured out some other way to implement Java beans so that people wouldn't pick up this pattern and think it's "Correct".
Secondly, each object you have should be a world in itself--generally, if you are going to use setters and getters they should return fairly safe independent objects. Those objects may or may not be immutable because they are just first-class objects. The other possibility is that they return native types which are always immutable. So saying "Should setters and getters return something immutable" doesn't make too much sense.
As for making immutable objects themselves, you should virtually always make the members inside your object final unless you have a strong reason not to (Final should have been the default, "mutable" should be a keyword that overrides that default). This implies that wherever possible, objects will be immutable.
As for predefined quasi-object things you might pass around, I recommend you wrap stuff like collections and groups of values that go together into their own classes with their own methods. I virtually never pass around an unprotected collection simply because you aren't giving any guidance/help on how it's used where the use of a well-designed object should be obvious. Safety is also a factor since allowing someone access to a collection inside your class makes it virtually impossible to ensure that the class will always be valid.