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I agree, that is one of the strengths of Tolkien that he does not make his heroes invincible. One loses all dramatic tension in the story if this is the case...
In the case of Glorfindel and Gandalf, I was struck by how the story line (more than the character) reappeared, once with an Elven Lord, and then again with one of the Istari. Glorfindel is never really fleshed out as a character, but in battle at least he seems to have similar powers to Gandalf and plays a similar role in their battles with a Balrog and their showdown with the Witch King, as I mentioned above.
I guess the difference, besides the fact that Glorfindel is not fleshed out as a character, is that Gandalf also takes on the role of chief strategist in the war against Sauron, while Glorfindel is limited to something more like a warrior.
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