In the scene where Will Smith has crashed his fighter next to the alien fighter, he opens up the alien ship. An alien climbs out, and Smith levels him (it) with a haymaker. At this point, the alien is wearing its exo-skeleton armor.
Later, in Area 51, the scientists remove the alien's armor. It is now not so well-protected. However, it takes several shots from 9 mm. pistols to wound it, and several more to finish it off, indicating how tough the alien is.
I know Marines can do anything, but, really.