Actually, there are quite a few! Other than Shedinja, who has LOADS of immunities, here is a handy list of Pokemon.
In bold is the Pokemon, in italics is if you need a specific forme or ability. I've grouped together all Pokemon of the same evo line, since theyre often similar.
-Aegislash, Doublade and Honedge (normal, fighting, poison)
-Spiritomb (normal, fighting, psychic)
-Sableye (normal, fighting, psychic)
-Gengar, Haunter and Gastly (normal, fighting, ground)
-Drifblim and Drifloon (normal, fighting, ground)
-Golurk and Golett (normal, fighting, electric)
-Mismagius and Misdreavus (normal, fighting, ground)
-Jellicent and Frillish with Water Absorb (normal, fighting, water)
-Chandelure, Lampent and Litwick with Flash Fire (normal, fighting, fire)
-Rotom in Normal Forme (normal, fighting, ground)
-Giratina-Origin (normal, fighting, ground)
-Duskull with Levitate (normal, fighting, ground)
-Azurill with Sap Sipper (ghost, dragon, grass)
Going to add Shedinja's immunities, because. xP
Shedinja (normal, fighting, poison, ground, bug, steel, water, grass, electric, psychic, ice, dragon, fairy)
Some Pokemon might also gain/lose an immunity from items/moves. Example: Air Balloon Damp Jellicent.
Source and also searching and verifying with Bulbapedia's handy type effectiveness chart for all Pokemon.
Might be missing a few, I'll add them in if I find any, please comment if I missed one.