In general--None. I like for animals to be their regular size, and there is no large animal that I'd want to carry around with me all day. I don't like snack-sized dogs.
But if I had to choose one animal (aside from a dog or cat) to be my constant companion, I'd maybe choose a raven. I think ravens are beautiful, graceful birds, and I love to watch them fly. I wouldn't want it to stay in my pocket all day.
Yes, xanath, any resemblance to Simon MacArran's father from that Darkover RPG we used to write in is absolutely intentional. Maybe I should move him to Pern--He'd like for me to.