The Shape gets shot and stumbles out a window in the first movie and he's gone before Loomis can check on him.

Yeah "implied" because it's never actually explained why he survived that stuff. There's lots of hyperbole with characters saying "He's not human!" and similar, but there aren't any actual answers. It could very well be that he's just the luckiest murderer alive with basically no pain reflex.

Easily shakes off being hit by vehicles multiple times.