The first thing that pops into my mind is Arceus, because how awesome would it be to get to walk around and honestly say, "I keep God in a tiny ball in my pocket"?
But I'm not that fond of Arceus. My favorite Pokémon is Mewtwo, but the second I turned my back it'd blow the house up, possibly kill me, and fly off.
So, I'll say a Ghost-type. Probably Misdreavus. Fairly small, easily transportable due to mad going-through-stuff skillz, has a sense of humor (even if it's the Gastly evolutionary line that's best known for pranking, I think that's something most Ghost-types share), very pretty, and guaranteed never to die of old age. And wouldn't mind letting it evolve into a Mismagius someday too.