My personal favourite when it comes to pets is the Lap Dragon (available in Kalrathia). The dragon is a hard to raise but very rewarding pet. It's autocast buff spell (Dragon Scales) starts off giving curse immunity, then adds lightning and death resistance, and then adds a bonus to power recharge rate. It's power (Draconic Inspiration) gives a great damage bonus to any powers used after it, and this can be very helpful for rangers as the ranger powers in the game aren't quite as damaging as those available to fighters and combat mages. And finally, it's emanation is unique (I forget the name offhand). While the emanations of the other pets give a fixed bonus, the bonus to your attributes offered by the Lap Dragon's emanation keeps growing as the dragon levels up with you. Over time, the Lap Dragon goes from being an expensive but lacklustre pet to being possibly the most beneficial pet in the game, depending on playing style.
Also, as Cobra said, if you want your pet to be your tank then the Mythrilhorn is second to none. A very good investment, even though it isn't quite as versatile as a humanoid character. However, one downside of having a melee pet with a ranger is that it is all too easy for the ranger and the pet to become too far apart in combat, making the ranger lose whatever benefits that the pet's emanation confers.
And finally, another pet you may want to consider is the Scorpion Queen. The emanation that the Scorpion Queen gains allows you to evade attacks, and is also the only ability that allows you to evade incoming magic attacks. The Scorpion Queen's attack range is also very impressive, allowing you to stay in range of her and her emanation even if you've been pumping Far Shot to increase your own range.
From cradle to coffin... Shall my wickedness... Be your passion