After the upcoming patch, every Knockback and Knockup will interrupt too, next to the dozens of Silences, Stuns, Fears and Taunts.
See the full list here.
I like how people say to get a Banshee on him and then they need two CC to stop him.
Really? If the enemy didn't break your Banshee with a skillshot before the team fight broke out, you should be steam rolling that match anyway and his ult reeeeealy won't make a difference...
Ashe's Volley, Karthus' Lay Waste etc. can easily cancel a Banshee's Veil's Shield long before you go into the teamfight.