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):

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