I always liked how the supernatural enemies could only be hurt by silver weapons etc. I think this needs to return, otherwise there's little reason to be afraid of a lich or ghost. And the dragons need to be genuinely fear inducing. If they do end up being the Oblivion gate of Skyrim as someone else said, it will be a shame. People have been waiting for dragons for so long that if they're not done well it will be such a dismantlement.
So, monsters immune to certain weapons yay or nay?
This is Skyrim, home to all manner of lycanthopes and angry spirits. You bet your last Septim there will be creatures unkillable by normal means.
At the very least, you won't be busting out an ice spell to take care of any Nords.