It's really not quite correct to say androgens suppress or stimulate the immune system. It is a bit more complicated than that, not surprisingly.
Here is Immunology 101 in a nutshell. The immune system has two "arms of attack": the cell mediated arm and the humoral arm. The cell mediated arm, or cellular immunity, responds to general assaults on the body by sending out immune cells to do things like attack invading organisms, or degrade necrotic tissue, in a non specific manner. By non specific it is meant that the immune cells do not recognize the invader as a specific target with which they are familiar. Inflammation is an example of a cell mediated response. When you get a sliver or strain a muscle the body sends immune cells there to wall off the site, increase blood flow, remove damaged tissue, etc.
Humoral immunity involves B lymphocytes that secrete antibodies that bind to the target and allow immune cells to recognize the target immediately as an invader and launch an attack. When you are vaccinated for something, like smallpox, you are injected with a small inactive piece of the virus. This primes your body to make large numbers of B cell clones that, if ever challenged with smallpox for real, pump out antibodies that mark the virus for destruction by other cells. The big advantage of this system is that it is fast and efficient. The disadvantage is that it is very specific. The cellular response is not as efficient but it works against any invader, not just one for which there already exist primed clonal B cells.
There is an emerging model of how the sex steroids regulate the two arms of the immune system. It is thought that testosterone stimulates the humoral arm and suppresses the cellular arm. This paradigm arose from the study of autoimmune diseases which overwhelmingly plague women more than men. The majority of autoimmune diseases involve a cellular immune system gone wild. Since in men testosterone suppresses cellular immunity, men are much less likely to suffer from these diseases, like rheumatoid arthritis.
So when NFG123 mentioned that androgens are antiinflammatory, this is kind of what it means technically. Some steroids seem to have stronger effects than others. So when people say deca improves joints because it makes you hold water, that is nonsense. It is an antiinflmmatory because it suppresses cell mediated immunity, which controls inflammation. it has nothing to do with water.
Why is deca's reputation as an antiinflammatory better than testosterone's for example? My guess is the minimal aromatization and its progestogenic activity. If you link to the article below and open the graphic, you will see a couple of interesting things.
First, progesterone, like testosterone, stimulates humoral immunity (the TH2 mediated response in the graphic) and suppresses cellular immunity (TH1 response). So progesterone has antiinflammatory action.
Second, estrogen exerts a biphasic effect. At low doses it is proinflammatory, stimulating the TH1 arm of the immune system (cellular immunity) and inflammation.
Deca then works both as an androgen and a progestin to quell inflammation. Testosterone, by virtue of its aromatization to estrogen is an inferior antiinflammatory.
Here is a link to an excellent summary of all this, called "Gender Gap in AutoImmunity"
http://www.sciencemag.org/cgi/content/full/283/5406/1277?ijkey=JsdA5F3s0DHFo
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