If it's a weapon, it's probably because it deals more damage...Etherealness adds 50% to the base damage of a weapon, and 50% to base defence of armors. Some items like sorceress orbs/necro wands are also sought after, even though they don't benefit from the larger damage, but this is simply because ethereal items look cool
There are ethereal items which repair themselves and equipment generally doesn't lose durability if used by a mercenary, so etherealness is an improvement for certain items. There are also a few unique items which are ethereal and indestructible. That combination is normally impossible.
- You can put a Zod in your ethereal items to make them indestructible. Thus, you'll have the benefit of 50% Damage/Defense, and no risk that your item will break eventually.
- Some ethereal items can be upgraded and become indestructible. Example : Rare Crystal Swords / Dimensional Blades. Once you upgrade them to elite, they're still ethereal but get the indestructibility inherent to each Phase Blade.
- As krischan mentionned it, always try to give ethereal items to your merc. They're much more powerful (Damage/Defense) and they won't lose any durability (that's a merc specificity). That's why everybody's trying to make the polearm's runewords in ethereal items, because they expect an Act2 merc to use them.
- And last but not least, ethereal items have less requirements : -10 Str and -10 Dex required to wear them. It can be important in several situation, especially low-level duelling where you want max Damage/Defense with the least stat points available.
Just to add, items that repair themselves relatively frequently or replenish frequently are prime candidates for ethereal-ness to be used by a char.
ethereal Titan's Revenge. Replenishes quickly so you get the benefits of the extra damage without the breaking of that weapon.
ethereal Skullder's Ire. Very popular armor with +1 skills and big Magic Find. Has self-repair so a regular char can use it for MF and not worry about it breaking.
ethereal Hone Sundan. Same deal. This weapon is especially popular for mercs for the 3 sockets, big crushing blow. If you can get it ethereal it's even better because you can upgrade it to a Ghost Spear and have it useable by your merc earlier because the dex requirements on the HS Ghost Spear is quite high. The eth counteracts it a bit.
ethereal Sandstorm Treks. Has self-repair so might as well get it eth so you get better defense. Basically it's free extra defense right?