I've had dogs, cats, hamsters, gerbils, fish, mice, birds and even a couple of squirrels. I also had horses.
I agree with 2disneywego - it depends on your lifestyle.
For keeping me outdoors the most, horses get the thumbs up. I love to ride.
I had hamsters, gerbils and mice when I was a kid. My mother wanted me to learn how to take care of animals before I got bigger ones. However, we had cats and dogs while I was growing up too, but my parents and older siblings took care of them.
My father bought me my first aquarium when I was 21. I learned quickly that you don't just throw in a few fish flakes

but they are very beautiful. I had a few birds which I absolutely loved but I didn't have good luck with them - one pulled out all his feathers because he was frustrated over not having a mate. Another got out of his cage and the cat ate him.

And the last one I had used to play with my dog - the dog got too rough and somehow broke his neck. No birds for me unless I can give them an aviary.
Dogs give me the best security and companionship; but there's still nothing like a cat. Cats think on their own and I like that. Besides, there's nothing like a few kittens curled up on your lap, purring, or your big old Tom cat curled up by your feet in bed on a cold winter's night.