My band has one. In fact, most of the bands that I'm friendly with have something. Don't be tempted to go too big, tho...or think about getting something that's "hang it on the truss behind us" AND something that's "hang it off the stage in front of us."
Yes, a banner and logo is cool. We've also printed some beer coolers and guitar picks to give away (because the bass player prints stuff in his business.)
URL? If you have your own .com and it isn't the first thing that comes up on Google when you search for your band name, then you need a unique band name.
We use one; a 6x3 I believe. Ordered through Staples. They are the same templates as Vistaprint and cost a little more but you can get corner and center grommets for mounting which you cannot get through Vistaprint. Also same day pickup at Staples and they don't charge you if you don't like it or will re-do it free of charge. Only other downside is Staples uses a laser printer so gold colors come out a little orangy.