[Raynor]

The sword that broke the sinnew of the witch-king it is said that it had specific spells against the nazgul, set on them by the numenoreans:

Doubtless the Orcs despoiled them, but feared to keep the knives, knowing them for what they are: work of Westernesse, wound about with spells for the bane of Mordor.

Hammond and Scull, in their Companion to LotR comments to the "A knife in the dark" chapter, quote a passage missing from the Unfinished tales, found however at the Marquette collection:

But above all the timid and terrified Bearer had resisted him, had dared to strike at him with an enchanted sword made by own enemies for his destruction.
...
Escaping a wound that would have been as deadly to him as the Mordor knife to Frodo (as was proved at the end), he withdrew

So, it does seem that these blades are more efficient than others against the nazgul. There are, indeed, several passages that argue for an unusual resistance on behalf of the nazgul:

Originally Posted by The ring goes south, FotR

- I thought they were all destroyed in the flood, said Merry.

- You cannot destroy Ringwraiths like that, said Gandalf. The power of their master is in them, and they stand or fall by him.

Originally Posted by The White Rider, TTT

- The Winged Messenger! cried Legolas. I shot at him with the bow of Galadriel above Sarn Gebir, and I felled him from the sky. He filled us all with fear. What new terror is this?

- One that you cannot slay with arrows, said Gandalf. You only slew his steed. It was a good deed; but the Rider was soon horsed again.

The most strong argument is the first, that the nazgul stand or fall by their master - however, we do see the witch-king fall before he does.

Maybe, there is a spell helping the nazgul against water, seeing how they already are afraid of it. Also, Gandalf said you can't destroy them "like that", which still implies there are other ways. [I would note that in the HoME VI variant, Gandalf says they can't be destroyed "so easily"]

Concerning the protection against arrows, it may be argued that, since even Frodo had a mail that could stop a spear that could "skewer a wild boar", it makes sense that the highest ranking servants of Sauron would have something similar.

In letter #210, commenting on Zimmerman's interpretation of LotR, he notes that the nazgul have little physical power against the fearless, their main power being fear (I think it is worth noting that). Seeing that no one actually enjoys invulnerability, and that such a concept is not even mentioned as such, I still believe they can be killed by some normal means, though, as Gandalf says, not so easily.