The word "unfathomable" is quite literary. In his essay "Three Passions", Bertrand Russell wrote, "...that terrible loneliness in which one shivering consciousness looks over the rim of the world into the cold unfathomable lifeless abyss". "Fathomable" is less used. The word "understand" is used in ordinary conversation. More academic is "comprehend".

A "fathom" is technically a measurement for the depth of water. So the connection to understanding is figurative: imagine yourself diving down into "knowledge" to see how deeply you can understand it. You'd normally hear it in negative sentences (eg. "unfathomable" as randy pointed out, or "I just can't fathom it."), though "as far as I could fathom it" is possible. "Comprehend" is a formal-sounding word (Latin base), with the image of mentally "grasping" a situation or knowledge.

Tunisia, The answer from Randy is very good. Sometimes, "unfathomable" and "incomprehensible" include the meaning, "unimaginable" when used in a context where thing, idea or circumstance being described is so rare or nearly impossible that it is hard to believe.