Having apparently died, Spike returned as an intangible ghost. We've seen dead people return in an intangible form before, of course, but previously it was really the First Evil. So what if it's the First this time too?
What would the First gain out of this? First, it may just be trying to distract the Angel crew from other problems - they're already on morally ambiguous grounds at Wolfram and Hart, so giving them an additional problem to handle keeps them off balance. Second, it may be able to con them into using precious time and resources to try to "rematerialise" its body. Third, if they do somehow create a body it can really mess with them, pretending to be one of the good guys until the right moment. And later mess with the Watchers and Slayers when Andrew sees him, and he and Angel visit Rome.
So all of this is presumably planned with an apocalyptic finale, such as the events of Not Fade Away, in mind. Angel is easily led that way, of course. So what happens next after Angel says he wants to kill the dragon...?