The thorns does not work against some monsters such as slimes. This has been reported in MC-4609 and MC-4619 but it is still bugged (at least for me).

To verify this, I manually created a level 127 Thorns enchantment and tried it against different mobs. Zombies, Skeletons, Zombie Pigmen and Spiders instantly died. They were instantly killed on first contact, none of the them required a second time for the Thorns enchantment to work.

However, the slimes never got hurt once even though I have spawned around 64 Large Slimes and went around getting attacked by them for 5 minutes or so, with the same enchantment level.

The enchantment level 127 was obtained using a NBT file editor. A level 3 Thorns enchantment (maximum level obtainable without editors) still does not damage slimes.

Update: (Thanks to Mike B for the comprehensive coverage)

Mobs affected: Zombies, Cave Spiders, Spiders, Skeleton, Wither Skeletons, Zombie Pigmen, Endermen and Silverfish.

Not affected: Wither Boss, Enderdragon, Magma Cube, Slimes, Witch, Wild Angry Wolf, Creeper, Blaze and possibly Iron Golem. (Creeper should not be affected because they're dead after they attacked)

Video Proof: http://youtu.be/BPUWM3HvCZY