Sturdy- with Shedinja, the makes it unkillable to normal attacks. Exceptions to this are Photon Geyser, Sunsteel Strike, Moongeist beam, any attack by a Pokemon with Teravolt/ turbo blaze/ Mold breaker, weather, and status conditions. Personally, I suggest you use safety goggles for a sturdy shedinja, and give it magic coat. If used right, counters anything. plus, most in-game trainers can't deal with shedinja.
If you're using shedinja in doubles, flame burst is something to watch out for. the secondary effects bypass the ability and deal damage normally.
Wonder guard- hit by ghost, dark, fire, rock, and flying, some of the most common attacks in the game. also, struggle (the move that you use after you can't use any of your other moves) hits as a typeless attack, so it hits through wonder guard