Congrats on killing your first mega beast.
As others have pointed out, the flesh and blood mega beasts tend to be somewhat like glass cannons. They have very good combat capabilities and can hand out some brutal damage but once they take a few good hits themselves they tend to go down pretty quickly after that point because they collapse from the pain.
Marksdwarves in general are very powerful against any flesh and blood enemy in that they can often put enough bolts into them before they can close to melee range that they will collapse from the pain first. Even poorly trained marksdwarves with no armor can be surprisingly effective when you have a decent number of them, particularly if you place them behind fortifications. The trick is getting their skill up to the point where they can fire through fortifications from a distance.
Melee dwarves on the other hand start out weaker but once they are well geared and well trained they are strait up demi-gods. A single dwarven axe lord decked out in full masterwork steel with a nice axe can easily decimate entire squads of armed goblins, often coming out unscratched where as a full squad of 10 shoddily trained and armed melee dwarves would probably lose half their number to serious wounding and or death in the same situation. Elite melee dwarves tend to shine against inorganic and undead enemies that can't feel pain and will not go down from a couple of lucky bolts. Often these sort of opponents must be dismembered to kill them.
One word of advice. If you ever see an enemy that has "deadly dust" it should be treated with the utmost respect and caution even if it is flesh and blood and your dwarves are god tier combatants.