How do creature that exile themselves interact with Whip of Erebos?
The reason you can dodge the whip with an ability like that is the "instead of putting it anywhere else" clause in the whip's rule.  That ability only applies if the card is going somewhere besides exile, it is fine with allowing the Ghost Council to be exiled by their own ability.  So the Ghost Council is considered to have been exiled by its own ability, not by the whip, and its own ability will return it.