Well, it's something at least, so so far we have for things that can kill them:
instant death (freeze in river, cave in, etc)
objects that move faster than the speed of light
steel arrow headshot by (possible, yet to be fatal)
Headshot by standard (or even greatly modified) arrows/bolts will not kill them. I know that I said it might, but I forgot they don't have a brain, and hence can't have their brain bruised. It only results in chips (or fractures, if you mod generously) to the head if you hit them in the head. You have to decapitate them or cut them in half to kill them, and anything less than my insane blade gun is not going to do that.
Edit: I just tried this again with steel discs (which, by the way, having mass 7 travel at the max velocity of 100,000,000), and the colossus was propelled backwards and "died after colliding with an obstacle", leaving magma:
Note, it is "magma", not "lava [7/7]" or similar. Is this what you see at the bottom of the magma sea? I that that was semimolten rock? Is just "magma" like this ever seen in DF?
Edit #2 - this also appears to happen from lopping their heads of in my home version of DF, so I think this might be a side effect of my having deleted the vast majority of the raws to speed up running my bolt testing macros. I also am not sure if adamantine is present in my raws, so who knows what the collosus actually ends up being made from. I also am not sure that 100,000,000 is the minimum velocity needed - I am pretty sure it didn't work with 100 times less than that, but I'm not getting the same result from this computer (likely because I don't have adamantine in the raws right now). Anyway, enough !!FUN!!, time for more bolt testing...