I'm fighting this dragon with all I've got and he's just not taking ANY damage! I'm stabbing him and shooting him at very close range and his health bar is not budging. He's just sitting there mocking me. I wonder if my gear isn't high enough? I'm at level 46/nord/warrior/archer/one-handed/sneak all full. I'm wearing the Nightingale Armor, boots, shoes etc. Geez, I don't know what it's gonna take to beat him. Any thoughts?

Which encounter? The first at High Hrothgar or the one in the end of the game?
If it's the first one, there's a bug that causes that. No fix I guess besides reloading save or downloading the unofficial patch if you're on PC.