Well, they needed explosive tip caseless to kill the xenomorphs in the second film. Outside of the Aliens versus Predator films, we don't have much to go on there (in Isolation, the 357 can't kill any of the Drones, but that may just be for game design purposes).
With the AvP films, however, a regular bullet can kill them (Facehuggers make sense though, since they rely on their acidic blood and speed/stealth than actually being offensive like the Drones and other variants). But, the AvP films are, well... Yeah. smh
Extreme hot and then cold switches can shatter them, as seen in Alien 3, so their exoskeleton can presumably be counted on to be pretty damn tough, and the Drones in Resurrection were vulnerable to extreme cold -- However, given they had human DNA mixed in (the "fleshy bits"), we can't say for certain if that vulnerability was because of that and not something standard to a normal xenomorph.
The end of Isolation (and in the IGN series' epilogue to the game), we see them walking and contentedly snoozing in space on debris and the station's exterior, so extreme cold and vacuum and radiation don't seem to be that much of problems to them.