The only thing working against FFXI and FFXIV characters is that they may be immortal but that doesn't make them all-powerful. If you were to compare them with, for example, the primals... it doesn't seem like there is much of a match. The primals may be more powerful - they don't seem to die, either, they just keep getting revived. MMOs make discussing power a very awkward thing. I would say, though, that Bahamut is the most powerful single entity I have seen in FFXIV. Not only does he also seem to have some kind of ability to revive himself, but he is leaps and bounds ahead of all the playable characters and primals alike when it comes to sheer destructive power.

Of course... ExDeath could probably just zap him into the VOID. I wonder - perhaps you could argue that even ExDeath could be defeated by Gilgamesh, as Gilgamesh could probably travel straight back out of the VOID simply by using his talent for interdimensional teleportation. Despite that, Gilgamesh can be beaten by playable characters in various games to at least some extent. I guess we're lucky that in the FF Multiverse, no person is truly undefeatable, even if they are effectively immortal.