You would think that, but I assure you it does work. I used this trick in Peasant a long, long time ago, crafting a deck around Dreams of the Dead and unearth creatures. It's an unintuitive rule, but the crux is that while the text on the card makes it sound like it always replaces leaving the battlefield with exiling, while in reality the underpinning rules of the game check whether this replacement effect needs to apply. When the game sees an unearthed creature being exiled, the replacement effect effectively goes: "oh, that's where I was going to send you anyway, no need for me to step in and do anything then". Thus, a blink effect can successfully exile an unearthed creature and keep track of it, so it can return the card to the battlefield. At that point, though, it's a new object as far as the game is concerned, so the creature "forgets" it was unearthed and gets to stick around.If you are referring to blinking an unearthed thing to avoid it being exiled, it does not work. Unearth says: "Exile it at the beginning of the next end step or if it would leave the battlefield". Uncheatable!
From NOTES AND RULES INFORMATION FOR DREAMS OF THE DEAD: "If a creature returned to the battlefield with Dreams of the Dead would leave the battlefield for any reason, it’s exiled instead — unless the spell or ability that’s causing the creature to leave the battlefield is actually trying to exile it! In that case, it succeeds at exiling it. If it later returns the creature card to the battlefield (as Oblivion Ring or Flickerwisp might, for example), the creature card will return to the battlefield as a new object with no relation to its previous existence."
From NOTES AND RULES INFORMATION FOR ARCHFIEND OF SORROWS: "If a creature returned to the battlefield by the unearth ability would leave it for any reason, it's exiled instead—unless the spell or ability that's causing the creature to leave the battlefield is actually trying to exile it. In that case, the spell or ability succeeds at exiling the creature. If the spell or ability later returns the creature card to the battlefield (as Ephemerate might, for example), the creature card will return as a new object with no relation to its previous existence. The unearth effect will no longer apply to it."