In 1992 I was still living in my parents' home with my four year old daughter. I had gotten into bed with her because she had the flu. I sat up and read her a story until she drifted off to sleep.
I lay there in the darkness unable to sleep as she tossed and turned in bed, as well as the endless coughing. Suddenly I heard loud crying. I sat up and there was nothing.
I got out of bed and went down the stairs without putting on the lights as I didn't want to disturb the household. The loud crying began. I could feel the hair on my neck stand up. I felt frozen to the spot, but somehow made myself move on down the stairs. At first I thought it was my mother and wondered why she would sit in the sitting room in the dark. She would have the lights on and be having a cigarette. I put my hand on the handle of the door when the cry changed into a gasp, like I had surprised someone. I turned and went on into the bathroom with the crying going on in the sitting room.
Coming back up the stairs, I looked at the door. I wanted to go in and see who was crying, but something prevented me from doing so. I climbed back into bed with my daughter. "Mammy, who's crying?" she asked me. I kissed her hot head and she went back asleep. The crying continued until the early hours of next morning.
When I got up the next morning, I asked my parents and sister about what went on the night before. They looked at me in bewilderment. They really didn't know what I was talking about. Then my Mother turned to me and said, "You heard 'The Banshee'." (Fairy woman or a lady who warns you about a death approaching.)
Three weeks later to the day my Grandmother suddenly died without any warning. She had a massive heart attack. So I agreed with my Mother that the lady crying was warning me that my Grandmother was about to die. I have heard her many more times since.
As for the banshee, I have heard many stories myself about it from some friends who are from Ireland. Everyone experiences the cry differently and in cases like yours, you hear it differently each time.