Live capture support under Ethereal depends on many things including the particular hardware you're using, your operating system, the version of libpcap/WinPcap that you have installed, and the drivers you're using. You can use Ethereal to sniff Frame Relay frames using Linux but it requires the current CVS version of libpcap. According to the Ethereal website these are the protocols that are supported based on what OS you're using.
802.11 ATM Ethernet FDDI FrameRelay Loopback Serial TokenRing AIX ? ? Yes ? ? ? ? Yes FreeBSD Yes ? Yes ? ? Yes ? Yes HP-UX ? ? Yes ? No No ? ? Irix ? ? Yes ? No ? ? No Linux Yes Yes Yes Yes Yes Yes Yes Yes Mac OSX Yes No Yes No No Yes Yes No NetBSD Yes ? Yes ? ? Yes ? Yes OpenBSD Yes ? Yes ? ? Yes ? Yes Solaris ? Yes Yes Yes No No No Yes Tru64 ? ? Yes ? No Yes ? ? Windows Yes ? Yes ? No N/A Yes Yes