Hexproof draws a line around a creature: opponents cannot target it with spells or abilities, full stop, no payment, no exception for the threat that matters most. In practice this means the usual removal pile, the Doom Blades and Path to Exiles and bounce spells and targeted counters that decks are built to win with, simply does not function against this creature. The opponent has to find a sweeper, a fight effect with a creature that grants hexproof to itself, an edict, or combat math, and most decks pack one or two of those at best.
The shape this creates at the table is lopsided. A hexproof creature with a relevant body invites auras and equipment, because the investment is no longer at risk of being two-for-oned by a single removal spell, and the resulting voltron threat closes games on a clock the defender often cannot interact with. It also warps mulligan decisions and sideboarding, since the opponent has to keep cards that would otherwise be dead, and discard them as live ones if the hexproof creature never shows.
The ceiling is lower than it looks. Hexproof does nothing against board wipes, nothing against edicts, nothing against the chump-and-race plan, and nothing on a creature too small to matter, where the keyword is just flavor text on a 1/1. The keyword punishes decks that lean on targeted answers and rewards opponents who already wanted to play Wrath of God.