You can also stun a Outsider (for the shard). I have personally stunned a Berserker as well. You can stun a repair drone with the appropiate research (it becomes yours to control, makes for a good scout). You cannot stun a Cyberdisk (I have tried, the arc thrower icon remain greyed out). I asume you can't stun a Sectopod either. I have tried to stun a Chrysilid, but the icon also remains unavaileble. I have stunned a Muton Elite as well and a Ethereal.
IF you have your guys who have an ARC, and it's his turn, you'll notice a light-blue circle around enemies you CAN stun. For enemies you can't stun, the line doesn't show up. I used this as an easy way to figure out what I can stun.
Keep in mind that anything you stun, you get the gear for. PLasma rifles, pistoles, etc. Very handy early on. Very handy to have a stockpile incase some random order comes through. I had an order for 7 light plasma rifles, came in handy, $1000.