In my first game, I was a bit surprised to see Ethereal missions already in June/July 1999. Two small ones, then a large accompanied by two medium HKs.
But that aside, what are your best tactics of taking them down given the shields especially the higher tiers use, especially in the early game? At least at this stage of development, I found that good guys could melee them with katanas/battleaxes if can get to close combat (1 or 2 hits, meaning you'll need to prepare for getting reaction shot anyway). Spamming dozens of gas grenades (or mines) otherwise, as the shields shouldn't help protect against them (though it might require a surprising number of grenades each, even 3-5 hits). Shrapnel rockets or explosives, with 2-3 hits, seem to be OK but are very destructive and trigger their sniper/spotter mechanic so you'll likely be grenaded or shot the next turn. The big downside of these is that they cause a lot of smoke, and if you don't have an armor with good heat vision, the battlescape might be nightmare afterwards. In smaller ranges, 2-3 rounds of MAGMA pulse rifle with chem clips also works (but again, you need to prepare for the reaction shots). All in all, the small UFOs were somehow manageable, but the medium one with 20+ Ethereals was a major PITA. I dare not think about the large one with all the sectopods that are likely deployed there as well.