In the grip of a Dark Quickening, Duncan threatens Methos on holy ground
Holy Ground is the only real sanctuary open to Immortals. According to their rules, no Immortal combat may occur on Holy Ground, not even the worst of them would willingly break this rule. It seems apparent, however, that Immortals may fight on holy ground, but they may not kill. The fact that Duncan MacLeod sparred on holy ground more than once seems to bear this out. There is a legend that prior to the eruption of Vesuvius, two Immortals battled to the death in a temple of Apollo, and the destruction of the city was the result. Only the most ignorant or deranged Immortal would even attempt to engage in combat on Holy Ground. Even mortals seem to be safe from Immortals on the sanctuary of Holy Ground as seen when Ernst Daimler waited to attack Father Bernard until after he fled his church (Mortal Sins).
What exactly qualifies as Holy Ground and how an Immortal can know the ground is blessed is never explicitly stated, there are cases of qualifying Holy Ground including land blessed by pre-Christian faiths but there is no explicit statement as to how two Immortals would know of a patch of ground's status unless it were indicated to be holy via markings, etc. It is possible that should the Immortals engage in combat, there would be immediate indications that the rule was being violated by earth tremors, etc. such as during the fight between Connor MacLeod and the warrior Kane in 1994, or perhaps its an innate sense similar to sensing another Immortal
When Kane confronted Nakano there was a Buddhist statue nearby confirming that the cave was Holy Ground. With Kane beheading Nanko the consequences were that Kane and his followers were trapped within the collapsing cave and thus removed from The Game itself. This would explain how when they were eventually freed Connor MacLeod (Alternate Dimension) instantly became Immortal again after aging a few years following his battle with The Kurgan (movie).
The exact rules regarding Holy Ground are difficult to determine. Kiem Sun challenged Ducan MacLeod to a friendly sparing match; the two fought briefly without consequence, suggesting that Immortals can "Fight" on holy ground provided they refrain from killing. By contrast in the film Highlander: Endgame, Kell murders numerous Immortals while they are asleep. The logic offered by the film is that because Kell's victims could not defend themselves, his actions did not qualify as doing battle, and so did not violate the rules. The concept of the Sanctuary being built on Holy Ground, however, may have been propaganda or a scare tactic started by the Watchers to prevent other Immortals attacking those who were incapacitated. As there is no confirmation it remains speculation at present.
In Kurgan Rising, Duncan is lured into taking another Immortal's head on consecrated ground. MacLeod notes that he should have instinctively realized the ground was Holy implying that the Immortals have an ability similar to their Buzz that acts as a warning system. It is later revealed that the building Duncan committed the transgression in had been specifically designed to channel such an act, and allow the mad mortal who built it to resurrect the Kurgan, implying that something about the structure itself crippled MacLeod's warning system.