Personally I like dogs best since they are there for you and provide great companionship. I realize they are not for everyone, of course. My tegu (a type of lizard) has all of the characteristics of a good cat--you can pet him if you want, feed him, play with him, take care of him, and of course he could care less if you ceased to exist as long as someone else was there to feed him.
Geese are also great, as they are ecologically correct and keep the lawn mowed without burning up gasoline. Horses are super for some people, as they provide companionship as well as being useful in a lot of ways. A lot of people do not consider goats as pets but they are also excellent to have around and lighten up the day!