He is with Macbeth during the encounter with the witches near the beginning of the play. After predicting that Macbeth would be king, they predict that Banquo would never himself be king, but would beget a line of kings (the Stuart line of Scottish and English kings). Macbeth later sends murderers to kill him and his son Fleance. Fleance escapes, and the ghost of Banquo returns to haunt Macbeth.
Although Macbeth was certainly a historical figure (a very different one from the character in the play), Banquo's actual historical existence is more questionable. He is mentioned by Holinshed, and other chroniclers, as an accomplice of Macbeth in his usurpation, and as being the ancestor of the Fitzalan High Stewards of Scotland, from whom the new King, James I, descended, but this descent was disproven in the 19th century, when it was discovered that the Fitzalans actually descended from a Breton family. Whether or not Banquo, Thane of Lochaber, actually existed remains in doubt.