2/12/2013 - Ethereal is a very meta mechanic. Its weird enough that it wouldn't appear on sufficient cards to justify keywording it. Even if you wanted to put the word on the card to help drive a set's theme, you'd probably just use an ability word. That's not what I want to talk about, though. Here's an ethereal card:
I'm pretty sure (from the name Mist Dryad) that ethereal was inspired by Misthollow Griffin, with a twist of Duel Masters' psychic creatures. At face-value, you're allowed to play ethereal creatures in games 2 and/or 3 of your match but not game one. Of course, very little in this game is as shallow as face-value.
Cards like Entreat the Mists would live in the same set, giving you a few ways to to get your ethereal creatures in game one. There wouldn't be many of these, of course: maybe one at common, one at uncommon and one at rare?
Misty Path doesn't support Mist Dryad or ethereal at all, but it does continue the other theme Entreat the Mists starts of thinning cards from your deck, in this case as a cost for a scaling effect.
Mist Dryad is a pretty Johnny card, Entreat the Mists is about equally Johnny and Spike, and Misty Path is very much a Spike card (though a weak one); I'm thinking that line of interest is a good thing, as we've got two related cards that appeal to two psychographics on three pieces of cardboard.
If you did make ethereal a keyword, you could also make a few more blunt, parasitic effects like "Put a card you own with ethereal from outside the game on top of your library." But, again, probably not worth the cost.