There are a lot of pets to choose from
Big Daddy (like many have said)
Prinny Squad (they respawn after being thrown)
Thanatos
Guilt
Malice
Arrogance
Blasphemy
or Hatred from Chaos Legion (soul is restored with sleep so I don't have to kill anyone) (also they're all fully upgraded)
Vivi (Maybe not as a pet, but more of a best friend)
Metriod (doesn't try to harm me)
Pokemon (don't feel like listing the ones I want)
Deathclaw (ditto what I said with Metriod)
Nightmare from DMC (I hate the guy but an amorphous blow that shoots lasers and transports my enemies to some horrible dimension to fight their greatest rival would be awesome)
One of the Colossus (preferably Phalanx, or #15 for those of you who don't know the name)
Bleu from Shining Force (the original Strategy one, not the hack n slash; seriously who wouldn't want an adorable little death machine, who can also fly you places)
Almost any summon from FF
Grunty from the .hack games. (1 from the original 4 to ride and one from G.U. to be adorable)
And how could I forget about the Chocobo (preferable gold so it can fly me places)
And on that subject how about a Moogle.
Well that's all for now.
P.S. To all the people who have actually played Chaos Legion, high five.