Banshees are ferret-like creatures that can sense when someone's in mortal danger. They scream when someone's injuries are life-threatening and lay next to them when they are dying and on their last breaths. Sometimes though, they will lie next to somebody and they will miraculously survive, but it is a rare occurrence and usually doesn't happen. Bullhorn did this for 2 weeks when Sophie Elizabeth Foster faded after her kidnapping.
Banshees are slinky creatures that, according to Sophie, look a lot like demented ferrets.