A Boulder, Colorado company called MailBoxer feels your pain. They offer three vandalism deterrent devices that, while they might not totally protect your mailbox, can help you achieve a sense of fighting back.
The "Stinker" consists of tubes around the box that, when ruptured by a bat or other object, release "skunk oil" that will hopefully get on the perpetrator. The "Bat Grabber" uses sharp nails (hidden under plastic) to grab and hold onto a bat or stick. Perhaps the most interesting device is the "Tattler," a radio transmitter that can sense vibrations and alert the owner to activity at the mailbox. Not only does the Tattler "cry for help" if the mailbox is vandalized, but it can signal when mail is being delivered.
Perhaps version 2.0 of the Tattler can include a small night-vision camera that can snap pictures whenever someone approaches. But then, it's a sad statement on our society when we have to go to such lengths to protect something as simple as a mailbox.