From http://www.powells.com/authors/pullman.html (which I got to from http://darkmaterials.com, which I got to from that article that rwclark posted in newsdog)
Dave (the interviewer): I’ve been looking for my daemon.
Pullman: Well, it’s no good, you looking for it. You find out what your daemon is by asking other people what they think it is.
Dave: They’ll know?
Pullman: Ask a bunch of your friends, once you’ve explained what a daemon is in the first place.
Dave: Do people tell you what yours is?
Pullman: I’m reluctant to ask in case it’s a slug or something.
Your daemon is your soul. If you’re a straight female, your daemon is male, and so on, and they are always in the shape of some animal. Any animal, land or sea or air, even insect. Before puberty your daemon can change into whatever animal it feels like, but by the time you’re like 12 it’ll settle into one shape and never change after that. Daemons must always stay near you, except for certain extreme circumstances/people (like witches, whose daemons are always birds by the way, but that’s all I’ll say about that). Um. It’s kind of embarrasing to touch somebody else’s daemon, but daemons can play with each other, and furthermore they can communicate kind of when you come across someone whose language you don’t speak. Yeah, daemons talk to you and to other people and to other daemons and stuff, and they are your best and constant and most dear companion. Bears don’t have them. ANYWAY you should really just read the books.
So, my friends. What form is my daemon?