A Banshee is a ghost yes, Sylvanas however is a corpse. Sometime after she was made a Banshee, she managed to find her mutilated corpse in the Undercity, and she used her abilities as a Banshee, to re-possess her own corpse.
That said - Sylvanas has style, she's cunning and evil - in the "good" way. Unlike Garrosh, who's a lumbering, moronic oaf.