An interesting conundrum came up in my game on Monday, and I'm not sure if it would work or not.
My Beguiler Player has Greater Shadow Conjuration and will often use it to cast Phantom Steed, made from shadow stuff.
Last night a foe used Etherealness to try and escape, and so the PC used Grt Shadow Conjuration to create an Ethereal Mount (SpC, Wiz 4, similar to Phantom Steed; in fact, Phantom Steed would have been no different if it had been used), then used Etherealness to move himself and the mount to the Ethereal Plane.
Shadow spells cannot be cast on the ethereal plane, because they can't access the Shadow from which the spells create their effects. However, the Mount was created on the Material plane, then shifted to the Ethereal plane. Does that work? Or can the effects of the Shadow spell not persist on the Ethereal plane?