Hmmm, not my first choice, but an interesting one...
I think mine would have to be a dragon- unoriginal but can you get more amazing? (oh, and he would not be a Sam-eating kind of dragon, he would be a Sam-protecting and chilling with kind of dragon).
I think a centaur would be quite cool to have around to chill as well.
Oh, and I must be annoying for a minute. RE: Pegasus. He wasn't anybody's horse- too special and too quick and strong for anyone to catch. He sprang from the body of Medusa when Perseus cut off her head. A guy called Bellerophon tried to captue him, but Pegasus wasn't having any of it, so he flew off into the sky and became a constellation.