Gears 2 and Wolfenstien.
Aimed a sniper at a bald, trenchcoat wearing super powered Nazi. He looks at the scope, and goes spectral form, just as I fire. Bullet goes through him harmlessly. He calls out in his wavering, ghostly voice and then rushes out of scope sight, then crosses it again, closing the distance with an impossibly fast zig zagging.
I fire... just as he reformed. He stops, and then slowly topples over, with a single bullet shot on his crotch.
The moral of the story? Doesn't matter how many planes of existance you can phase through at will, I will still shoot your dick off.