Banshees are ferret-like creatures that can sense when someones 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 but they will miraculously survive, but that is rare and usually doesn't happen. Bullhorn did this for 2 weeks when Sophie Elizabeth Foster faded after kidnapping.
Banshees are slinky creatures that, according to Sophie, look a lot like demented ferrets.