I adore the Ethereals. Despite being minor players in the story of The Burning Crusade, you learn quite a bit about them. Their history, their current state, all of that. You even run into multiple, unique factions. The Consortium, the suave, slick and sometimes slimey interplanar merchants. The Protectorate, the firm defenders and sworn warriors against the Void. The Ethereum, the evil, soul-sucking counterpart to the Consortium.
Despite being borderline thieves, Consortium members have a certain charm to them. Nexus-Prince Haramad is even kind of a bad ass! He runs in atop the Stormspire to help you fight off some of Kael's lackies. Very cool. Haramad even proves that he's not above doing good deeds. He hands an Ata'mal Crystal over to A'dal even though it isn't lining his pockets with gold.
On top of that, I really like the Ethereal character models. Most people don't and that's alright. It confused me when I first saw it, but I quickly fell in love. It was very sci-fi, very high fantasy. Again, completely understandable if you're not into the high fantasy. Me, though? Love! Their movement and models give this effect of moving in and out of phase, and I wasn't quite sure what to expect out of these guys. Plus, pseudo-Arabian motif fits them really well.
Goblins are tiny, ugly, and, in my opinion, crude. The seemingly most 'high class' of them all is probably Baron Revilgaz, and even he plays dirty and is a warty little green thing. They are very steampunkesque, which I'll admit is really cool at times, but it just doesn't compare to the high fantasy of the Ethereals. There is definitely something to be said about the more underhanded, seedy works of the Goblins, but again, I personally prefer the Ethereal way of things.
A lot of my split on this topic could simply stem from the fact we haven't seem some of the most interesting Goblin lore in the game yet. It all remains tucked away in some future expansion, where we may get to see Undermine and the Isle of Kezan, but for now the Goblins just aren't as interesting as the Ethereals.
My opinion may change one day, but the Ethereals remain my favorite race to come out of The Burning Crusade, and I'll be very sad if we don't see any of them in Northrend. Come on, just one? Please?