I heard that some people are pretty much immune to CS gas, the only reference I can find online is here:
A large part of the effectiveness is also psychological. When people first experience CS they tend to overreact and experience secondary symptoms not created by the CS. After a couple exposures, you know what to expect and CS becomes more of a nuisance than something to fear. You don't intentionally walk into a cloud of CS but you can kind of shrug it off if you do.