I've found that Become Ethereal is AWESOME for many reasons. First of all, its great for fighting dragons, especially when they fly around annoyingly and breath fire/ice on you from above, so just use it to negate that damage. Also, the shout says you cannot hurt anyone while ethereal, BUT YOU CAN. Basically, attacking or doing anything will just end the invincibility, meaning that you can use the shout and aim up a good power attack without being hurt.
Outside of combat it is still great. It works wonders when climbing through mountains as you can just jump of cliffs and such, which is also really fun.
One of the best parts of it is that, when ethereal, for some reason you don't exhaust stamina while running, meaning as long as the shout lasts you can run for an extended time, which seems to be more effective then whirlwind sprint. Its important to note that sprinting while ethereal still halts stamina regeneration, but does not exhaust it, like normal sprinting does.
Try it out and get back to me with how great it is!
I also love the full Unrelenting Force and Fire Breath shouts, both are really powerful in combat. KILL IT WITH FIRE!