Finally, a List...

...of things that dont take sneak dice damage:

Precision damage (such as that dealt by a rogues sneak attack ability, or damage done from a critical hit) applies to more creatures than it did in previous editions of the game.

Some may balk at this but it can easily be imagined or explained as the attack having found a weak point in the undead's "body" (such as a zombies head) or even finding a crack or flaw in a constructs "body."

Creatures Immune to Critical Hits

• Aeons
• Elementals
• Incorporeal (unless using a ghost touch attack) creatures
• Oozes
• Proteans (50% ignore)
• Swarms

Creatures Immune to Precision Damage (like Sneak Attacks)

• Elementals
• Incorporeal (unless using a ghost touch attack) creatures
• Oozes
• Proteans (50% ignore)

Source: http://www.d20pfsrd.com/classes/core-classes/rogue