I've always favoured Maggin's approach in his novelization of "Kingdom Come" when it comes to magic.
Copied from Knightshifter's site on this (which has a good deal of my own speculations on this included):
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But there was something about whatever it was that people called "magic." It was not one thing, magic, but a constellation of unknowns. It was almost as though by failing to understand the nature of a thing, that gave the thing a power over Superman. It was the unpredictability, like physics' exclusion principle: by understanding something you subvert its nature. Superman could never understand Captain Marvel or believe in the gods that had given Marvel a power to rival his own."
Excerpt from Chapter 28 "The Physics of Magic", Elliot S. Maggin's novelizaton of Kingdom Come.
Superman's belief structure is based on two things. Firstly, he was raised with midwestern common sense. Secondly, his Kryptonian heritage was solidly technocratic and scientifically based. His belief structure doesn't include the possibility of magic. This explains why he can be hurt by a Vampire, but he resists outright destruction by vastly superior magical forces. His subconscious kicks in his self-preservation instinct in life-threatening situations. It would make an interesting Elseworlds story if Superman had been raised in a magical culture. That way, his belief based vulnerability would be to scientific weaponry instead of magical forces.
Superman "can" resist magic. Superman is a thoroughly selfless character. He has been shown to resist magic when there is a grave need for it. Some examples:
Early 90's Superman vs. Blaze; Superman defeats Blaze in her own hell dimension. Stakes: Jimmy's soul is about to be taken by Blaze. This is no ordinary feat as Blaze has NEVER been beaten in her own realm. Blaze is a mystical demonic ruler who has total control over a mystical Hell. She's on a par with Neron and Satannus.
JLA Primeval: As was stated below by other folks, Superman resisted the magical and mystic energies of a Primeval God. Stake: the JLA's evolved existence. God power versus Superman Invulnerability.
Crossover, War of the Gods: Superman DEFLECTS and WEAKENS a mystical Bolt so powerful, it was designated to destroy the Greek Islands. Stake: Millions of lives in Greece. Although Superman was unable to completely stop it, he deflected (and resisted its destructive mystic energies) enough to save the Isles.
Some minor incidences:
Superman versus the Demon, Byrne era: The Demon blasts the MOS with Hellfire but causes no physical harm. Superman feels though as if it was burning in his mind and soul. He resists it enough to fling the Demon through several towers.
Superman as Gangbuster: Without his normal psyche intact, Superman breaks mystical bands that was restraining him.
Superman in Valhalla: Although he is fighting against demons in a mystical realm, he ultimately out survives the DC version of Thor, and becomes the War's number one warrior. As noted, Thor deems Superman the worthy lifter of Mjolnir, not Diana or anybody else.
The point of these examples is that at times, Superman resists magic due to some instance when he is no longer thinking about the effects on his body. He has been shown to resist even massive amounts of mystic energies because he believes that he can endure it, "and does"! Magic, and Mystical forces require faith to sustain it. The funny thing about bringing up Superman's vulnerability to magic is that everyone who says it will hurt him just says that it will, no questions asked. That's faith. But equally true is the belief that if you believe that it cannot hurt you, it will not. That too, is faith. This is just our opinion of the matter of course. Superman's mind is that of a mortal. There are many things, like a mortal, he does not understand. And magic is among them. He has been indoctrianted to believe that he has a weakness to magic, and thus when confronted by it, he automatically believes that he can be hurt by it. It is when he removes this belief (for the stakes at hand) that he overcomes magic.
The first 3 examples show this theory. The following 3 are a bit more diverse. Magic does not physically hurt the MOS, but rather he says it is hurting his soul. This is indicative of the nature of one type of magic.
The second example is when Superman no longer maintains his own psyche. He no longer has this "fear" of magic and thus breaks through mystic restraining bands. The last is when he fights so long in Valhalla that he is not affected by its magical nature (or that of its creatures) any more than WW or asgardian fighters, or even Thor. Magic is a tricky thing. It requires someone to believe in it to be effective. Belief systems have everything to do with it. And not everybody believes the same way. Superman "can" resist magic, only if he believes he can.
http://www.geocities.com/knightshifter100/Superman.html