Genjutsu and Hidden Mist Jutsu
Users like Zabuza and Mei who have the Hidden Mist Jutsu are basically immune to Genjutsu.
With Hidden Mist Jutsu, it blinds the opponent so Genjutsu used by Doujutsu is useless.
Genjutsu that only requires the ninja to point at their target is useless because they can't see their target.
Genjutsu that requires hand seals to activate, that require you to see your opponent to channel your chakra into them, which is most Genjutsu is useless because you can't see your opponent, thus can't channel your chakra because you don't know where to channel it.
The only Genjutsu that could actually counter the Hidden Mist Jutsu is Sound Genjutsu, which has only been shown from two ninja throughout the whole series (very rare).
I can only see Genjutsu users like Itachi and Madara who are at the top 10 of all time being able to use Genjutsu in the mist, and that's because they are very fast. The chances of running into Genjutsu users like that are about 0%, thus extremely rare.
Genjutsu that can actually counter mist is so extremely rare that u can basically say ninja like Mei and Zabuza are 'immune' to it. When I say immune I mean basically they will never get affected by it.
BTW if you say that they could hit u with Genjutsu before you even start to fight, I mean, Zabuza is an assassin and was shown to always have the first move so he'd get the mist up first. Against other ninja, yeah it's possible they'd get hit with it first. But Zabuza is basically not getting affected by Genjutsu.