Because of its unusual legal status. The UN is not a state, but its not an NGO either. It has "international personality" and "is a subject of international law and capable of possessing international rights and duties" [1]. The only way to take legal action against it seems to be through the International Court of Justice, which is accessible only to states, not individuals. And this is problematic because the ICJ is itself a branch of the UN.

Edit: I don't fully agree that the UN is "immune to everything". There are problems with accountability, but I think it does a lot of good in the world.

[1] http://en.wikipedia.org/wiki/United_Nations#Legal_basis_of_e...