Anyway, I've recently installed Xubuntu 12.04 Beta 2 and the media keys of my keyboard were not working with Banshee. As far as I can tell, this is not a bug on Xubuntu (the keys do work with Parole and other programs) but with Banshee, probably with the Banshee Media Keys plugin.
After suffering for something like 3 hours and not being able to find a solution, I thought of this pretty and easy workaround. The fist important thing is that Banshee allows us to control it with the terminal, you'll be able to see how with the command:
This gives back all available commands to control Banshee from the terminal, and an explanation of what each of them do.
My keyboard only has four multimedia keys (I reckon most of them do), and they are Play/Pause, Stop, Previous and Next, so I'm interested in only these commands:
Now that we know this, we can actually set any shortcut to them. Of course I chose my shortcuts to be my multimedia keys, but you can set them to anything you want.
To do this, we just go to Xubuntu's keyboard configuration and to the "Shortcuts" tab and you need to manually set every shortcut as you want. Look at my shortcut configuration screen (the highlighted ones are Banshee's)
Note that I've added some shortcuts to add ratings to my songs as well (I'm a rating freak, I have 4.000+ songs and everyone is rated), but that is completely optional and up to you! Of course you can create shortcuts for some other things as well, just remember to check out Banshee's help (the first command I wrote here)
Hope it was useful!