I use an Ethereal quite a bit. Initially, like most of the posts it was a detrement because my opponent would go after him, everytime and everytime my army would fold because of it. Until, I planned for it.
When you put an Ethereal on the table, his a big target. It's almost asking your opponent, please kill this 1 model so my whole army can flee or get prefered enemy ... Nothing more frightining then Tau Firewarriors in combat...
When I say plan for it, I mean use your Ethereal as bait. Lure your oponent into attacking him. Put him in a squad on your left flank, away from any objectives or away from the majority of your force so that any unit going after him, is effectivly out of the game.
or Put a unit of Kroot in reserve , have them come in near the Ethereal for counter attacking purposes.
Generally, I like the combo of an Ethereal in a unit of Firewarriors with a Devilfish and Shadowsun. Any unit within 18 inches of Shadowsun's drone is LDR 10 and if in LOS of the Ethereal, re-rollable. Create a deathtrap of overwhelming firepower so that anything attempting to get near the Etheral is dust by the time it get's there and if it does, that's what the Devilfish is for.