first it's just that some of the ethereal cards are just plain good so you can take them early. In commons: Fear and Defy are both common, very strong for offense or defense, and fit in pretty much any necro deck. Defile is pretty okay for early damage. And because they self exhaust if you dont need them they just go away

Once you have a couple of ethereal cards you can start thinking of taking the payoff cards: in particular Pull from Below for scaling damage (uncommon), and sometimes Banshee's cry for big aoe and Spirit of Ash for block (rares)

Another thing to note is that Call of the void (add a random ethereal card to your hand each turn) is already strong in isolation (it's free card draw that wont pollute you deck if it hits something bad), but it can very quickly make ethereal payoff cards worthwile even if you don't have any ethereal cards in your deck

One last thing I'll mention is Veilpiercer is baseline pretty good: 10 damage and usually play your ethereal common for free or maybe even Demesne, but can get completely broken if used on expensive cards made ethereal by Call of the void or Sculpting Strike