Short answer: At the banquet in Act III, Scene 4, Macbeth sees the ghost of Banquo.
Renowned Shakespearean critic Harold Bloom observes that Macbeth is a "great killing machine" who possesses less than ordinary intelligence, but has "a power of fantasy so enormous that pragmatically it seems to be Shakespeare's own." Indeed, it is this phantasmagoria connected to Macbeth that produces the tragedy of the mind that unfolds in the play Macbeth. Furthermore, Macbeth's imagination is so powerful that no sooner does he consider a desire or ambition than he perceives it as fait accompli (something already accomplished). This trait certainly awakened in Elizabethan audiences those parts of the imaginations in themselves that they found so frightening much as horror films do to audiences today.
Therefore, after Macbeth has killed King Duncan, the porter is the cause of Macbeth's having to wake everyone to the death of the king. Afterwards, these characters will have a certain ghostliness to them. In a sense, then, Macbeth is haunted by all these personages even before they are slain. In Act III, Scene 4, Macbeth learns that his hired assassins have killed Banquo, but his son Fleance was able to escape. In an aside, Macbeth thinks,
...Then comes my fit again,
But now I am cabined, cribbed, confined, bound in
To saucy doubts and fears. --But Banquo's safe? (3.4.24-26)
As he is lost in his thought, Lady Macbeth appears, informing him that he has not greeted his guests. But, Macbeth is lost in this phantasmagoria and his conscience speaks to it:
Thou canst not say I did it. Never shake
Thy gory locks at me. (3.4.51-52)
It is the "unsexed" Lady Macbeth who takes charge of the situation; challenging the manhood of her husband, she asks him, "Are you a man?" He answers in an unlikely manner:
Ay, and a bold one, that dare look on that
Which might appall the devil (3.4.60-61)
When Macbeth urges his wife to look, she, of course, sees nothing, telling him the ghost is but a "painting of your fear"; however, he cannot believe that she, too, does not see Banquo's ghost. Now, the guests begin to wonder, and it is Lady Macbeth who mitigates Macbeth's explanation of his strange actions as an "infirmity" and "a thing of custom," a condition he has long had that is very minor. So, when Ross begins to question Macbeth, Lady Macbeth asks the guests to leave because such questions will only disturb Macbeth. They therefore depart wishing Macbeth better health.