Slade Colossus.
What? Not all megabeasts should be killable. There should be some things that should terrify even the largest and most powerful fortress.
I don't think it would be phyiscally possible for something made of slade to move, or even be on the surface considering that slade is 9.456 times as dense as platnium it would probably be a avatar to Armok himself if it existed and infact slade is probably so dense that if something were made out of it and tried walking on sand and dirt tiles it would probably fall through them for Armok's sake. Also on another note Mega-beasts should always be possible to beat.
When making those comments about slade, I assume you are referring to how you think it should be, not how it is. Because people have done dwarves with slade bones, and other creatures (namely, I think someone did magma crabs) with slade skin(/shells).
For megabeasts: I think for now they should all be killable, but once dwarves are smart enough to understand when something can't actually hurt them even though they can see it, I wouldn't mind megabeasts that you couldn't kill, so you had to deal with them in other ways. It would also be nice if once things can't get into your fort, they stop calculating paths to get into your fort! At least until something changes that could change paths.
For an adamantine colossus: do they do blunt damage, and is it based on their weight? If so, adamantine colossi might be unkillable, but hit like feather dusters.