Source : Webster's Revised Unabridged Dictionary (1913)

Banshee \Ban"shee\, Banshie \Ban"shie\, n. [Gael. bean-shith
   fairy; Gael. & Ir. bean woman + Gael. sith fairy.]
   A supernatural being supposed by the Irish and Scotch
   peasantry to warn a family of the speedy death of one of its
   members, by wailing or singing in a mournful voice under the
   windows of the house.

Source : WordNet®

banshee
     n : (Irish folklore) a female spirit who wails to warn of
         impending death