Banshee at 2:34 of this video. http://www.gameinformer.com/b/news/archive/2011/01/26/the-art-of-skyrim.aspx
Are we sure it's a banshee, though? It's not labeled a banshee, actually, it's not labeled at all, so it doesn't really tell us anything. While it looks similar to the banshee pictures posted in this thread, that's an image I could also see being something else, it's not like a harpy or minotaur or something where you see it and can pretty much see what it is. Certainly, it could be a banshee, but we can't be sure.
As far as banshees being in Skyrim, I don't think they'd be out of place in the game, but at the same time, there's many other monsters I could say the same about, and I don't think it would be feasible for Bethesda to add every monster you could possibly think of that fits Skyrim, so if banshees are in the game, than they're in the game, if they're not, than they're not, I won't mind too much either way.