So this is a little old bat file i made like a year ago or something but never did anything special with it, so why not share it here.
This little guy contains a console command lines for most of the essential npcs in the game, including the dlc ones and if you activate this bat file it will set them all to be killable without the need of other mods but it doesnt work 100% percent of the time.

I noticed that if you are on a quest like killing the first dragon or showing up whiterun for the first time to speak to the jarl, you wont be able to kill the essential npcs until you done with the quest or something i dunno but if they do die during the quest, the quest itself probably wont fail and will still continue but will be broken.
I have also included a little brunt corpse in the middle of helgen that contains goodies just for fun if you so seek, and a little knife that will resurrect dead npcs back to life but not ones that started dead. should be easy to spot.

Open up the console with the ~ key and type bat npc and it should show all the commands and should have them be able to die by anyone or anything.
Doesn't effect children, due to some stupid child tag they look putting on all their games.
Have your load order like this if you want to use it on a new save

00 - Skyrim.esm 
01 - Update.esm 
02 - Dawnguard.esm 
03 - HeartFire.esm
04 - DragonBorn.esm  

Optional Files Contains 3 Different Saves 
1 - Before Character Creation  
2 - Inside Helgen Keep
3 - Outside Helgen Keep 

I recommend this mod if you wanna kill npcs who are invulnerable to damage, it will allow you to preform kill cam moves if in front of a npc, which kill the IMMORTAL npc that cant be damaged.

Unarmed Various actions Include Melee armed - http://www.nexusmods.com/skyrim/mods/41780/?

You can also transfer these saves to an xbox if you so wish to speak, i dunno about ps3.