If I remember correctly... Rex is the little doggy, he's cool, I would go for that. However, almost any game where there's companions they usually end up dying (even on Dragon Age). First time I lost a dog in Fallout, I didn't realize it until I was well into the game, I didn't understand at first that your dog could die, so when I backtracked a little there it was... dead. I picked it up and found a nice little site to lay it down... every time I passed that part of the game I would pay it a visit.