Banshee

The first banshees were former elf women who had been returned to a horrible, spectral existence. More recently, they have arisen from females from other races and a few rare men.

Lore
When the Burning Legion and the kaldorei clashed in the War of the Ancients, 10,000 years ago, many night elf women fell. Their brutal murders returned them as banshees, and for millennia they wandered the world in lamentation, losing ever more of their dwindling sanity. Eventually, the Lich King, Ner'zhul, learned of their existence and recruited them into the Scourge. Banshees fought in the Third War alongside other undead, and when Arthas attacked Quel'Thalas, he found that he could make banshees of high elves as well.

Banshees are undead spirits, many of them from high elves who were taken and enslaved by the Lich King after his conquest of Quel'Thalas. While under Ner'zhul's control the banshees were kept just aware enough so that they could experience the pain, desperation and anguish of their existence, and were then filled with a desire to spread that pain among the living. Most known for their chilling and deafening screams, banshees can also cast a number of curses.

After the Third War, the Lich King lost control of some of the banshees, including their queen Sylvanas Windrunner. Not long after Arthas raised her as a banshee, she broke from his control, taking fellow banshees with her. She regained her physical body and established the Forsaken. This act gives many banshees hope, and a strong cadre of free banshees can now be seen serving with the Forsaken. Most banshees still remain enslaved to the Lich King's will though, and can be found throughout the Plaguelands. Many wild, unaffiliated banshees exist. Physically, they appear as spectral elven women, with wild flowing hair and long talon-like hands. Banshees have the unsettling ability to force their way into the bodies of living creatures, thus replacing the creatures' spirits with their own. A banshee who does this, however, loses its original form.

It is thought that some banshees wandered Azeroth long before the Scourge, and were subjugated to the Lich King's will. This is supported by the presence of Banshees in ancient kaldorei ruins throughout Kalimdor, like Dire Maul.

Warcraft III
''Banshees were once beautiful female Night Elves who were brutally murdered by demons during the fall of Kalimdor. Their restless spirits were left to wander the world for many ages in silent, tortured lamentation. Over the years they became jealous of the living and seeded a deep hatred for all life. Yet when the Lich King, Ner'zhul, became aware of them, he gathered them together and promised them vengeance upon the living. Ner'zhul gave them terrible voices so that the living would finally hear their timeless anguish. Thus, the Banshees have pledged themselves to the Undead cause and serve as valuable warriors in the Scourge. The spectral Banshees can fly and are fond of hammering their enemies with tortured blasts of sonic force. Their unnerving, unholy screams can be heard from miles away.'' - "Mojo Stormsnout's Warcraft III Strategy Guide"

Relation to Dark Rangers
Sylvanas Windrunner, the first high-elf banshee ever created by the Scourge, later regained her physical form to become a dark ranger. It is not explained how exactly this occurs, but it is implied that it had to do with Sylvanas replacing former elven ranger druidic knowledge with necromancy.

Sylvanas' dark ranger form has been compared with dark elves by some fans, a race thought to have been the basis of her physical form, however this is unconfirmed. Though its partially implied in Horde Player's Guide, where dark rangers are considered cousins to high elves, and the idea of converting to "dark" is given. Dark elves do not exist in the Warcraft universe as such, though Ul'haik Hadanot is an example that the potential for a similar race is possible.

Non-elven banshees?
Although uncommon, according to Manual of Monsters, it appears that it is possible for human women, and even men from other races, to become banshees upon their undeath.

Blind Mary and Nissa Agamand may be examples of such. Their undead model appears fully elven like other banshees. However, it may be just a matter of Blizzard not making special in-game models for those characters, and they may in fact just be ghosts, although most ghosts would use the model of a transparent form of their race. In Warcraft III, the enemy known as "ghost", seen in places such as the Barrow Deeps, used the banshee model as well.

Notable

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Myth
It is very likely that banshees in the Warcraft universe are modeled after. Both the Irish and in-game versions are depicted as ghastly. In Warcraft III, banshees were equipped with a ranged attack that resembled sound waves, reminiscent of a banshee's characteristic wail. Except, the banshees in Warcraft are generally evil, while Irish ones are not commonly mourning the future or recent deaths of people of original irish heritage in their name i.e. O' or Mac.