Zephyrs are the Aether's equivalent of Ghasts. They are large, floating, cuboid mobs that float randomly and shoot smoking snowballs at the player. The snowballs deal no damage, but have very large knockback. Getting hit can easily knock you off the island you are standing on. Equipping the Shield of Repulsion and standing still does not seem to have any effect on the snowballs (or anything, for that matter).
Since Zephyrs,like Ghasts, can see you from very far away, it is easy to be caught unawares by snowballs. Using Dart Shooters or the Hammer of Notch (with good aim) can easily kill a Zephyr. When killed, they drop a random from 0 to 3 cold aerclouds. Since they fly, however, the drops often fall into the Aether's void, and drops that fall into the Aether's Void do indeed appear in the overworld,as well as players riding mobs, players themselves, and Moas.
You can negate the knockback effect of a Zephyr by wearing Sentry Boots.