It's hard to know how many Immortals there actually are, as they are never numbered and there always seems to be one more. But we can at least get a minimum count:
According to this exhaustive list, a total of 160 Immortals appeared or were referenced during Highlander: The Series with another 7 in Endgame. There are three additional Immortals from the first movie that never appeared in the series (Ramirez, Kastagir, and Iman Fasil; the Kurgan appeared in a vision in Season 2). So if we're going by the series continuity (i.e. excluding 2 and 3 with broad strokes on 1), there have been 170 Immortals seen or referenced, with Immortals having said that they've killed more.
In Endgame, it's stated that the Watcher database has recorded Duncan taking 262 heads and Connor taking 174 (the former gets 4 more between Endgame and Source) with Jacob Kell taking 681. This list of Duncan's beheadings (which include books) shows that Duncan has been seen to behead 81 Immortals, 15 of which were in the books. So there were 74 Immortals in the show that were not beheaded by Duncan. If we add all that together (minus two since The Kurgan and Iman Fasil are included in the Watchers' count for Connor), we arrive at a grand total of 1208 Immortals that were either beheaded by those three characters and/or were at least mentioned in the show.
I suppose we could figure out a maximum count by taking the human population of all time and subtracting the number of individuals confirmed to not have died via decapitation or faked their deaths, but that'd still give you a number in the billions, which is much, much more than the rarity they are implied to have.