I think Ridley Scott did it best in his Alien. The bugger is quite vulnerable to bullets and blades, but you really, really don't want to put a hole in it if you're either close range or trapped in a spaceship with one. And all the arsenal in the world still doesn't guarantee success if they're swarming you and using the environment to their advantage.

Making something invulnerable to weapons is an easy way out, making something so that you don't want to use weapons on it is much harder, but much more rewarding.