PSA: It's okay to ADC and buy Banshee's Veil
vs 
So quit your bitchin'
vs 
So quit your bitchin'
Remember the days when it was a normal thing to buy either a banshee's or randuin's as your 6th item?

These are also perfectly acceptable to purchase as an ADC to counter a mage with hard CC.
I would agree with the stance that Banshee's Veil is also an option, though its lack of offensive stats makes it somewhat more of a situational purchase.
I'm not sure Banshee's will protect you all that much from Veigar. If you're low HP so he's just going to ult you, likely Banshee's has been popped. Otherwise, if he's fed. He overkills you so much that he can sacrifice damage to pop your shield and still kill you.