An ethereal unit has a 75% chance to negate any non-magical damage inflicted on it. This includes damage from repelling and trample in addition to weapon damage. Ethereal beings can also move through walls and other obstacles in battles, and may not be frozen as a result of suffering cold damage.
Ethereal units are unaffected by profuse bleeding. If they suffer from it for any reason, the bleeding will always end on the first check without consequence.
Additionally, certain spells are less likely to affect ethereal beings.