I voted Nymph, because she's jolly. I always enjoy playing with a character with the Nymph more simply because of that.
Objectively though, it's rather situational. Corey and Lich are considered the best indeed, but the Nightmare is very usefull in combination with other pets, and the Wisp provides some massive buffs to elemental damage users (at relatively little skillpoint expense). When it comes to co-op gameplay, the Wolves trump all: having three Wolves spamming SotP in co-op with other non-pet party members is just insane.