Pets follow you around and are generally pretty awesome. From the Guide:
As an adventurer you can buy one or more pets to help you on your quests and adventures.
Obtaining a Pet
Pets can be bought from several locations in the game. Search around the shops to find the pet store. Pets are reasonably expensive and are very weak to start with so be careful with them!(One of the easiest places to find a pet early in the game is to the right of aria town. Mabion sells monkeys and chicken for 25,000g each, and other pets whose cost can reach up to 100,000)
Controlling a Pet
Pets can be controlled in two ways. First, right clicking or long pressing on a pet will toggle it's mode. By default the pet will follow you and attack anything it can. Toggling it's mode will tell it to wait which will cause the pet to stay on the spot (and show a little red stop sign). In this mode the pet will not move but will attack any enemies near by. This is useful for leaving the pet on guard. The second way to control a pet, or in this case to keep it safe, is to place it in the stables. Every inn has a stable and for a small fee the inn keeper will look after the pet. All stables across the world are linked, so if you stable your pet in one location your can release it from another.
Pet Development
Pets develop as they experience the world with you. Pets gain experience for kills just as your player does and they level up. Unlike your player, pets have a maximum level once reached they will develop no further. Leveling up pets has 3 effects. First the pet will become stronger with each level. Second the pet gains abilities as certain levels, a drake may learn to breathe fire for instance. Finally pets also evolve, at certain levels they will become different strong animals. If the player kills an enemy, the pet will not receive any experience. If a pet kills an enemy, both the pet and the player receive experience. However, the amount of experience received will be different - pets usually get much more experience for kills than the player does.
Available Pets
Currently, there are several available pets: