The pets all give the same stats now, regardless of which one you pick...so you may want to pick one who's blessings offer some benefit/spells you would like. If you head over to this page >> http://eq2.zam.com/wiki/Deities_(EQ2) << it will give you a list of all the deities (by alignment) and you can read further into each one and what it will do for you.
Plus you can always pick a new one and do the quest line later on if you decide the one you pick isnt right for you.
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Things I sometimes play...
"What do you want to be when you grow up?"
"I want to be a unicorn!"
"Awww, why's that?"........
"So I can stab people with my face."