[Belegorn]

I've got to check on the Nazgûl, but based on some instances in which the Witch-king is mentioned I doubt he is invulnerable as Galin pointed out. Take for example his fear of certain Dúnedain. Why would he fear them if he were invulnerable to most/all weapons and they were not?

"Boromir was a great captain and even the Witch-king feared him." [Appendix A: The Stewards]

I don't know of any Maiar who incarnated who were invulnerable. Even Morgoth bore wounds, limped on an injured foot, and feared to go out and fight Fingolfin. Sauron was hurt, and lost a finger, Balrogs were hurt such as Gothmog getting impaled by a helmet, dragons were hurt, Saruman was hurt and got his neck slit.