data = {1, 0, 2, 1, 2, 0, 1, 0};
lm = LinearModelFit[data, {1, x}, x];
lm["SinglePredictionConfidenceIntervalTable", ConfidenceLevel -> 0.95]
Show[ListPlot[data],
Plot[{lm[x],
lm["SinglePredictionBands", ConfidenceLevel -> 0.95]}, {x, 0, 9},
Filling -> {2 -> {1}}], PlotRange -> {Automatic, {-4, 6}},
Frame -> True, ImageSize -> 300]
See also Showing the correlation of two variables using a plot