Anyone know how to kill this guy? Nothing I have works. No spells work, he seems to be immune from bludgeoning damage, slashing damage, and peiercing damage. So frustrating.

Welcome to the forum. What is your best weapon? By that I mean +2, +3? Where is this guy? It's been awhile since I played, but you should be able to hit him with something. Sorry this isn't very helpful. Try buying a stronger weapon, and see if that works.

Cystal Golem is definitely one you bash with bludgeoning weapons, but I think he has some level of damage resistance so is immune to some of the damage.

There are some special bludgeoning arrows you can use on him which work quite well (Impact Arrows, I think they are called.)

In the IceWall map, you find a number of shades which dont attack you right away. One of them is named Varsillius(sp?).
This shade carries a Morning Star +1 which also does 1D6 fire damage on each hit. That is all you need against Crystal Golems and Trolls from now on.

Even if a Crystal Golems has any resistance to Blunt weapons (which is wrong considering the note you find) it takes bonus fire damage.
Bullets and Impact Arrows and the Bludgeoning Axe you found in the Scrag's cave are also useful against Crystal Golems.

Slings with magical bullets work wonders on crystal golems.

Havin a monk in the party is also useful against crystal golems.

monks.. he's right.

eh, I think the Kegsplitter Axe of Shaengarne Ford does for them quite nicely

The version you are thinking of is an HoF only item.
The one available in the Normal (non HoF) game does not slay golems.
The ease of use mod has a component which allows most of the HoF only items to be found in the normal game however.

Oh I know ... but they were asking about stuff that would kill them ... and that axe kills them quite efficiently :)