The Collaborative International Dictionary of English v.0.48:

Banshee \Ban"shee\, Banshie \Ban"shie\, n. [Gael. bean-shith
   fairy; Gael. & Ir. bean woman + Gael. sith fairy.] (Celtic
   Folklore)
   A supernatural being supposed to warn a family of the
   approaching death of one of its members, by wailing or
   singing in a mournful voice, as under the windows of the
   house.
   [Webster 1913 Suppl.]

WordNet (r) 3.0 (2006):

banshee
    n 1: (Irish folklore) a female spirit who wails to warn of
         impending death [syn: banshee, banshie]

Moby Thesaurus II by Grady Ward, 1.0:

78 Moby Thesaurus words for "banshee":
   Ariel, Befind, Corrigan, Finnbeara, Mab, Masan, Oberon, Titania,
   apparition, appearance, astral, astral spirit, brownie, cluricaune,
   control, departed spirit, disembodied spirit, duppy, dwarf, dybbuk,
   eidolon, elf, fairy, fairy queen, fay, form, ghost, gnome, goblin,
   grateful dead, gremlin, guide, hant, haunt, hob, idolum,
   immateriality, imp, incorporeal, incorporeal being, incorporeity,
   kobold, larva, lemures, leprechaun, manes, materialization, oni,
   ouphe, peri, phantasm, phantasma, phantom, pixie, poltergeist,
   pooka, presence, puca, pwca, revenant, shade, shadow, shape,
   shrouded spirit, specter, spectral ghost, spirit, spook, sprite,
   sylph, sylphid, theophany, unsubstantiality, vision,
   walking dead man, wandering soul, wraith, zombie