Basically what Beta said. 

In the high end of the intermediate levels, pistols and other low-powered weaponry will likely bounce off the characters like it was nothing. What does that mean? Don't bring a knife to a gun fight, bring a minigun, or a bazooka. 

To use Beta's character as an example, by using the tabletop system his character is built by; His soak (armor) is 7L/10B - Which means it's pretty hard to get through with pistols and whatnot. However, if you bring an anti-tank rocket launcher; which deals 20 lethal damage (within it's radius) upon exploding, your chances of damaging him -IF- you hit him increases substantially. 

Also, keep in mind, no matter how durable the body is, a bullet to the eye or into the ear is always painful.

Edit: You guys beat me to it. Damn you! :D

Edit edit: You can always have a magic revolver that can destroy tanks.