Depends on the composition of your party.
If you're solo, you might as well pick something with useful specials for lowering or bypassing resists, and maybe disco. Also helps with groups.
With a group, you might want to pick something based on the elemental damages being done by the others. If each of you picks a different damage type, when your pet turns Anon to the elemental form, the others will able to continue attacks unfettered - and you'll be able to continue attacks when their pet turns him. In this case, popular pets trained up to 5 slots include Cus (cold/energy, and self-healing), Fire Beetles (100% fire and anti-resist attacks, and mountable), and Giant Beetles (100% physical, is great with AI, Mortal, Rune Corruption and Poisoning, and still is mountable and can haul 240k of the gold home). I believe Najasaurus are one of the go-tos for poison, as it has similar specials to the giant beetle, plus 50% poison damage.
While the "lose a choice" bug is said to have been fixed, it's still probably safer to start pets going the AI/RC route to go AI, then your second Choice for another power in that category (such as mortal), then the category with Rune Corruption, and finally the magic/poison/disco power. 4 abilities are better than 3, especially if you can choose ones that work well together.
GDs and Frosts are good general use pets (especially if you got lucky and found a 4-slot to train to 5)