I guess it really depends. Are they automatically domesticated? I'm guessing not.
If they were: I would probabily have either a hellhound from Chronicals of Riddick, or a wolf from Inuyasha.
If they weren't: I'd probabily stick to the cute mostly harmless pets like a kneezle or owl from Harry Potter, or summoned animal from Naruto... (I did say mostly harmless, not completely harmless.)