There are two types of pets you can have in WoW: agressive and non-aggressive. Aggressive pets are pets who can do damage. They are the Hunter's tamed beasts, the Warlock's summoned demons, the Engineer's created combat toys (dragons and chickens and yeti), even mages and priests have minor pets in The Burning Crusade. Non-aggressive pets are just graphical pets that follow you around. You can have both types out at the same time. This guide is centered around non-aggressive pets (my hunter is only in his 40s). Throughout this guide when I refer to 'pets' I am referring to the non-aggressive type.
Pets are usable by either Horde of Alliance although obtaining some of them can be difficult. The neutral auction houses are always a viable option but be prepared to pay more.
There have been many new pets added with The Burning Crusade. I will gradually add what information I can get. The main addition is a vendor in the Stormspire in Netherstorm. This is a neutral location where you can buy snakes, rabbits and my favorite; the mana wyrm. Some of them are quite expensive but worth it if you ask me. In the Exodar you can buy very nice different color moth pets. These are much nicer than the collectors edition Nether Drake (we got the shaft). Many other interesting pet quests have been added including a magical crawdad that requires a high level fishing.
Dianius' Pet Guides
World of Warcraft's tamable pets