The notion of peer pressure is to make you feel obliged to do what people want you to. Not a big problem if you want to do said things yourself (unless it's bad things, you don't want to do BAD THINGS), but it's horrible if it goes against your nature.
I wouldn't say i'm immune to or unaffected by peer pressure, but i'm pretty good at telling people off if i don't want to do whatever. Some things i'm just a bit reluctant to do (because of my careful nature), but end up being pretty fun or good or whatever, in which case a bit of encouragement doesn't hurt. Encouragement also resulted in my first time being entirely drunk (i was of legal age, mind you), which was pretty fun, though normally i wouldn't gobble down a shot that takes more than one gulp to empty (hint: it took three). Not so much a shot as it was an artillery blast, because the world wasn't quite stationary afterwards. BUT I DIGRESS.