Basically what the question asks. This doesn't count things that come from your soul, things that nobody else can see, etc. Probably a fair few will say Fox from Persona , but lets hear some interesting ones.

pikachu in pokemon yellow

" pikachu in pokemon yellow "

Max, from Sam and Max! 

Kevin's pet dog in Seiken Densetsu 3.

Your mom!

Zing

" Your mom!Zing "

I just had to get the corny shit out of the way, now you can have a proper discussion, shenanigan free!

Does Yoshi count?

EDIT: 

Chocobo..... Beat that!!

Does Daxter count?

Companion Cube

My dog in Fable 2. I know it's cliche, but I loved the mutt.

" Max, from Sam and Max!  "

Alyx Vance.

I never used Dogmeat from Fallout 3, but I guess he was cool. And even though I have not played Fable 2 all that much, I gotta say that Dog was great!  

I always liked the little dog in Fable two when I played it at my friends house.

fable 2 dog.

Does Kazooie count? Banjo has got Kazooie in his backpack all the time.

Companion Cube.

Wolf from Black and White who I'd trained to lovingly gather trees and grain for me and feed on my enemies
......or Companion Cube for obvious reasons.

the dog in fable 2 .  :D

Lagi in Panzer Dragoon Zwei. Duh!

Peppy, Falco, or Slippy?

" Agro. "

AGRO
AAGROOO
*FWEEEEEEEEET*

" @buzz_clik said:

" Agro. "

Yes. "

I haven't had many animal companions in video games, but I felt I had some kind of attachment to the dog in Fable II.

Agro. That horse had my back all the time when i needed him.

Shiki's cat Mr. Mew from The World Ends With You

A cat that you can throw at people gets super huge and shoots lasers from its eyes is always awesome.

I've always really liked Espresso in the Donkey Kong Country games.

" Nobody in this topic has said Epona?!For the love of god Epona! "

epona (spelling?) from OoT

My vote goes to Epona. Also, I never gave two shits about Fable 2's dog.

" @dbz1995: look at ur icon lol "

The original Dogmeat (Fallout 1) failing that, any of the cutesy things from Castle Crashers.

Not Navi. Ever. Ever.

My choice is Koromaru from Persona 3, but I'm also going to mention Munchie from Dragon Quest VIII.

I nearly cried at a... *cough*...  certain moment....  Involving the dog from Fable 2.  I got so friggin attatched to that dude...  Especially once I turned him into a Husky. :D

" @Matthew said:

" @buzz_clik said:

" Agro. "

Yes. "

Yes. "

Wiki, from Zack and Wiki.

Not Navi. Ever. Ever. "

Hmm, I dont know if he counts but I gotta say Daxter from Jak and Daxter

The hawk in Prey. Always there, yet never annoying.