In this scene we are told that Banquo has had his sleep troubled with dreams of the witches or the "weird sisters". It is clear that these dreams have not helped him to have a good night's sleep - he says:
A heavey summons lies like lead on me,
And yet I would not sleep. Merciful powers,
Restrain in me the cursed thoughts that nature
Gives way to in repose!
The key difference in the response to how Banquo and how Macbeth relate to the witches and the prophecies lies in the fact that, although both have ambitious thoughts, Banquo chooses not to act on that ambition. Macbeth therefore is the opposite - he chooses to give in to those ambitious thoughts which lead him inevitably to murder and treachery. We can see therefore that in some ways in this play Banquo acts as a comparison to Macbeth - and a rebuke to Macbeth and the path he has chosen to take. It is therefore fitting that it is Banquo's ghost that haunts Macbeth, and of course, one of the key ways in which he haunts Macbeth is by referring to the different ways they both responded to the predictions of the witches.