They're from the book series His Dark Materials. Golden Compass is the first one and is a movie you may have heard of.

Basically each person has a physical animal or daemon that's always with them that represents their soul. These animals can talk to the person and they're seen by everyone. The constantly change form when the person is a child and finally "decide" on a permanent shape as an adult. The animal reflects the kind of person they are.

eta: I should refresh before I answer