Every gamer knows that fantasy RPGs are full of mythical and magical creatures that are impervious to harm from ordinary weapons. Lycanthropes, the greater ranks of the undead, golems and elementals, and various and sundry extra-planar and incorporeal beasts all are immune to mundane arms.
Besides representing the abilities attributed to these creatures in myth and folklore, weapon-immune monsters fill the role, in game, of opponents that PCs can't just cut down through main force of arms. To beat them requires clever strategy, careful planning, and research or trial and error to discover their weaknesses. Failing that, survival requires fleetness of foot and a good sense of when to use it. At least, that's how I imagine it should be.
More typically, though, creatures' immunities barely matter. By the time most characters will be facing wererats and wights, they've already got at least a magical weapon apiece; silver is pretty well irrelevant, never mind stuff like wolfsbane that only drives certain monsters off rather than killing them. The rules try to keep up by declaring some higher level monsters immune to increasingly powerful weapons; you need a +2 or a +3...and once again, at the levels PCs are likely to encounter those monsters, they're already packing at least that magnitude of magical swords and maces.
One obvious problem that I can see, if one wishes to preserve the status of monsters with immunities as especially challenging opponents, is that magic weapons are pretty much universally effective. A sword +1 is good against everything from wererats to shadows to gargoyles to vampires. Find one of those, and you can simply resume meeting every challenge with toe-to-toe combat.
The obvious solution is to sharply limit the number of magic weapons in the campaign. It's obvious, but not necessarily optimal. Magic weapons are still the "silver bullet" against everything, so to speak. And, let's face it, magic weapons are expected. A treasure hoard just isn't the same without the possibility of finding an enchanted sword or bow.
A better solution, in my mind, is to say that magic weapons are not universally effective. Basically, magic weapons can harm the same creatures that normal ones can. They just give you a bonus to hit and damage against them. If you want to fight werewolves, you really do need a silver weapon. A sword +1 just won't cut it - literally. Weapons made of the material of the creature's weakness do full damage. Magical weapons do no damage, unless they're also enchanted specifically against that creature type. For instance, a sword +1 would not harm a werewolf, but a sword +1, +2 vs. lycanthropes would inflict full damage. There might also be swords that are just +1 vs. lycanthropes, and nothing else.
Magical constructs such as golems might be harmed by "generic" magic weapons, since both share a similar process of creation. Like affects like.
Optionally, magic weapons might do their bonus damage only against weapon-immune creatures. A sword +1 would do 1 point, a sword +2 would do 2 points, and so on.
Several creature types have other weaknesses besides particular classes of weapons. Lycanthropes, for instance, are repelled by wolfsbane. Garlic wards off vampires, and they can't endure sunlight or cross running water. Holy water works on all undead. Weaknesses for other creatures might be devised as well. Perhaps shadows are repelled by bright light, and gargoyles vulnerable to weapons of cold-forged iron.
With this rule in place, even a high-level party might not have more than one or two members capable of directly harming any given weapon-resistant creature type in combat. That means that even high level parties are likely to have to discover and exploit other weaknesses.
With the exception of specially-enchanted magic weapons, most of the materials useful against weapon-immune creatures are probably going to be perishable or limited use, so characters won't be able to make a one-time buy and be prepared forever after. Herbs like wolfsbane and garlic lose their potency over time. Holy water is obviously one shot per vial. Even silver is probably much less durable than steel as a metal for weapons - perhaps silver weapons are more susceptible to breakage, or the silver might wear away through use or corrosion. I'm not a metallurgist or medieval weapons expert, but I suspect that anything larger than a dagger or an arrow might not even be feasible at all. If anyone has expertise in that area, by all means feel free to comment and set me straight.