The peasants of the wood use crudely carved symbols to ward off wolves. They think the symbols are emblems of purity and goodness and that keeps the wolves away. The symbols work, but not for the reasons the peasants believe...
The symbols are actually arcance evil symbols which the wolves know and fear, but to which the peasants are oblivious. So how gullible are the peasants going to be when a strange horned man displaying the symbols on his shield turns up and asks for their allegiance?
Rather than making a baddy impossible to hit, consider giving it mega-hit points.
Super hard to hit leads to great player frustration. Allowing them to do damage leads to a sense of accomplishment. another variation of this would be to give the bad guy a forcefield that shows damage.You could also give them a mastermind ability that sluffs the damage of to minions who should be easy to kill.Once in a while a super high to hit encounter is ok ,but it should be few and far between.
Your mileage may vary