The definition of 'ethereal' is 'extremely delicate and light in a way that seems not to be of this world'. This does not quite capture when a wine is spoken of as ethereal. When applied to wine, ethereal means light and delicate, often silky, but also intense. It is a descriptor of the texture of the wine. A long lifting finish (peacock's tail) also adds to a wine being ethereal, as the flavours seem to sail into a very pleasant oblivion. The grape variety which can express this best is Pinot Noir. Barolo is sometimes described as etherial, but strong tannins often break the spell.
I was reflecting on this as I drank a bottle of the 2013 Ata Rangi Pinot Noir. It expresses this texture and finish perfectly (97 points).