As far as I can tell from their appearance, they're pretty much like woolly mammoths: Long shaggy fur, slow moving and high fat content. This type of biology would be better suited to planets like Ilum or Hoth, but yet Banthas are an integral part of Tatooine culture. How is it that they survive on this desert planet when their bodies' design wouldn't work with the high temperatures and sandstorms? (In contrast, other animals on Tatooine seem much more suitable to the environment: Eopies, Krayt dragons and Dewbacks.)
A group of science bloggers recently participated in a "Science of Tatooine" blog carnival, writing pieces of scholarly speculative fiction. It's not canon, but canon doesn't have much to say about them.
John Hutchinson wrote "The Functional Anatomy of Tatooine Megafauna" and has this to say about banthas:
Behold, the true nature of bantha fur, as I have seen with microdroid holo-imaging: it is a second, external circulatory system of sorts. Simply put, the hairs have a thermo-conductive submolecular structure that deflects heat (and even, to a degree, the energy of a blaster) and traps cooler air near the body with an intricate network of cross-linking of barbed fibers more like a Terran bird’s feathers than mammalian hair. In this cooler locale, tracts of spongy skin tissue collect condensed water and direct it to absorbent epithelial beds on the chin and lips, belly, and toes, where the bantha imbibes it, or simply sheds it off to carry further heat away. Thus here we have a fascinating case of convergent evolution with the reptiliform dewbacks, but surpassing even that animal’s adaptation and evolving what you would likely call an air-conditioning system. Banthas cool themselves by circulating a slick of cool water around their body inside a heat-resistant fluffy outer mesh. Whether their horn tissues or tails contribute to this system is yet to be investigated.
There's more to it, and he does build on Terryl Whitlach's (assumedly canon) artwork.