Ethereal items get:
+50% Def (Armor and Shields)
+50% Dmg (Weapons and Shield with Smite)
Now, because merc do not use durability, you should equip all your mercs with eth items when possible. Also, several runewords such as BotD are indestructible, so making it on a eth item is always a plus. Some rare items and runewords, such as Exile, have self-repair, which is almost the same as indestructability, so it would be better for it to be eth. Now, some unique items such as Titans are strinctly better that the non eth one because they get the bonus and pretty much lose nothing. Finally, other unique items such as HoZ are in the middle. If you have it non-eth, you can Um it and get extra resists, but if you have it eth, you have to Zoed it, but in exchange, you get the eth bonuses. In general terms, eth items are often better than the non-eth ones.
Rich players also use ethereal Fortitudes and other ethereal runewords just up until they almost break. Once they have 1 durability or so, they just hand them down to their mercs, or sell it off as merc armor.