So many people had such interesting imaginary characters in their lives growing up!
I had a shape-shifting companion named Ayra for a while. She was pretty much like my daemon if you've read The Golden Compass, or an animal version of a Shadow if you've read The Seventh Tower. Ayra preferred to either be a wolf or a bat. When she was a bat, she would fly around my head or hang from my finger. If she were a wolf, she'd walk at my side and I'd bury my fingers in her fur. I thought our minds were connected, so we never talked out loud, but I did act out every action that involved her. I bet a lot of people wondered why I was walking around with my finger poked out.