Well... In the mod I'm planning to realease after the next major DF release, there's a rediculous amount of creatures that will probably severely reduce the life span of your fortress, but this megabeast reigns in terms of sheer unkillability:
[CREATURE:GRUE]
[NAME:grue:grues:grue]
[TILE:G][COLOR:6:0:0]
[MODVALUE:50]
[MEGABEAST][FANCIFUL][CANOPENDOORS][CARNIVORE]
[NOPAIN][EXTRAVISION][NOBREATHE][NOBLEED][NOSTUN][NONAUSEA][NOEMOTION][NOFEAR]
[NOSKULL][NOSKIN][NOBONES][NOMEAT][NOTHOUGHT][NOEXERT]
[FIREIMMUNE_SUPER][CAN_LEARN][CAN_SPEAK]
[BUILDINGDESTROYER:2]
[GENPOWER:5][FREQUENCY:2]
[GRASSTRAMPLE:0]
[BONECARN][TRAPAVOID]
[LIKES_FIGHTING]
[DAMBLOCK:80][MAGMA_VISION][AMPHIBIOUS]
[PREFSTRING:near invulnerability]
[BODY:HUMANOID:2EYES:2EARS:NOSE:HUMANOID_JOINTS:NECK:MOUTH]
[SIZE:9]
[ATTACK:MAIN:BYTYPE:MOUTH:bite:bites:80:80:GORE][ATTACKFLAG_CANLATCH]
[FAT:1]
[NOCTURNAL]
[BIOME:ANY_LAND]
[NO_GENDER]
[COLDDAM_POINT:1]
[HEATDAM_POINT:38000]
[IGNITE_POINT:40000]
[BOILING_POINT:50000]
[SWIMS_INNATE][SWIM_SPEED:2500]
[NOT_BUTCHERABLE]
[CANNOT_UNDEAD]
[SPHERE:DARKNESS]
[SPHERE:DEATH]
[SPHERE:FOOD]
Let's see... swims and doesn't breathe, so you can't drown it. Rediculously high heatdam point, so you can't melt it. Kills large buildings, so it's rather difficult to atomsmash it. Immune to traps, so you can't cage it. No internal organs and can't get things stuck in it, so there's not much point in shooting it. Has a damblock of 80, so you can't really sword it.
And the fire and lighting arc isn't in yet, therefore you have no light, therefore you are likely to be eaten by it.
As of right now, it's only weakness is worldgen creatures, since they apparently have superpowers.
Non-megabeast version, which simultaneously removes the aforementioned weakness and causes them to show up sooner:
[CREATURE:GRUE]
[NAME:grue:grues:grue]
[TILE:G][COLOR:6:0:0]
[MODVALUE:50]
[POPULATION_NUMBER:1:1]
[CLUSTER_NUMBER:1:1]
[MEANDERER]
[LARGE_ROAMING][LARGE_PREDATOR][FANCIFUL][CANOPENDOORS][CARNIVORE]
[NOPAIN][EXTRAVISION][NOBREATHE][NOBLEED][NOSTUN][NONAUSEA][NOEMOTION][NOFEAR]
[NOSKULL][NOSKIN][NOBONES][NOMEAT][NOTHOUGHT][NOEXERT]
[FIREIMMUNE_SUPER][CAN_LEARN][CAN_SPEAK]
[BUILDINGDESTROYER:2]
[GENPOWER:5][FREQUENCY:2]
[GRASSTRAMPLE:0]
[BONECARN][TRAPAVOID]
[LIKES_FIGHTING]
[DAMBLOCK:80][MAGMA_VISION][AMPHIBIOUS]
[PREFSTRING:near invulnerability]
[BODY:HUMANOID:2EYES:2EARS:NOSE:HUMANOID_JOINTS:NECK:MOUTH]
[SIZE:9]
[ATTACK:MAIN:BYTYPE:MOUTH:bite:bites:80:80:GORE][ATTACKFLAG_CANLATCH]
[FAT:1]
[NOCTURNAL]
[BIOME:ANY_LAND]
[NO_GENDER]
[COLDDAM_POINT:1]
[HEATDAM_POINT:38000]
[IGNITE_POINT:40000]
[BOILING_POINT:50000]
[SWIMS_INNATE][SWIM_SPEED:2500]
[NOT_BUTCHERABLE]
[CANNOT_UNDEAD]
That oughta work.