A dragon. I know its been said plenty of times before, but that because its a fucking dragon. They can fly you around places (cheap transportation), they are usually pretty intelligent (always someone's to talk to), they have elemental breath weapons, and nobody is going to mess with a dragon at his back. NOBODY! So a dragon just seems like the perfect pet. Although it would be more like a companion to a pet. I doubt a dragon would liked to be considered such a lowly thing as "pet". But still, you get my drift.
Although the humor of me choosing a dragon as a pet with my avatar is not lost on me. Eh I was never a fan of black dragons anyway. Brown dragons seemed so much cooler (they can swim through sand!).