In my White game it said, "Serperior is unaffected" when a Pokemon used Horn Drill on it. What other Pokemon are like this?
If your pokemon is higher leveled than the opponent, 1 Hit KO moves don't affect it. (Horn Drill, Fissure, Sheer Cold).
In addition to what Swampert posted, Flying pokemon (and Levitators, Magnet Risers, Baloonists) will be immune to Fissure. And Ghosts will be immune to Horn Drill and Guillotine.