The only way to block a banshee, is to use a banshee. Nothing escapes its terrible cry, but the dark magic that binds them have been cut with patch 1.04. Actualy u have it easy, before the patch banshees had no cooldown so possession was extremely fast.
Banshee isn't a good unit to mass produce and he is extremely stupid. I suggest, stay away from taurens in any game, or shamans. If he starts go for raiders and HH, ensnare as many banshees as possible before they strike, and hit em with spears. Banshee can use antimagic shield though, so i wouldn't suggest getting close with magic. just as an aside, Blood lust will do nothing but help them. You bloodlust a grunt, he turns with a possession, u now have a bloodlusted enemy, you have a master shaman, you have an enemy who bloodlusts the enemy with a possession. not good. take it from me, banshees are hard to counter, never let them build up to them or all hell will brake lose.
use wyverns. cast purge on the banshees with your shaman and attack them then keep purging them so they cant
get to you or just run-)
Just imagine someone teching to Frost wyrms or Chimeras. Just picture lossing a 450 gold Wyrm to a 180 Gold banshee. not smart.