what kind of animal is a daemon?

A daemon (demon in some American spellings) is essentially a "soul" that a character can talk to as he/she grows up. They are normally portrayed as animals, but they can be shape-shifting and they can also be many different animals. As children mature, their animal becomes more consistent when they finally begin to find out who they really are. Lyra is young in the story, so her "animals" (daemons) take many different forms. Her daemon is named Pan, but at some point he is a mouse, an ermine, a sea bird, and a moth. One of the conflicts in the story is that Pan would like to be able to be able to change throughout his entire life, but that is not what typically happens.

In The Golden Compass, daemons are supernatural creatures. They are the Manifestation of the human soul worn on one's sleeve.