I hate to admit this, but when I was a kid my favorite pet was an English Sparrow. I found it as a nestling and it just sort of bonded to me and would ride on the handlebars of my bicycle. They are quite smart and affectionate - more so that many other animals.
There, I said it - there go my ferocious former Marine creds once and for all!
Not sure if it's true ... but the English Sparrow may have been brought here intentionally, essentially as a free-range pet (ie not to be kept in a cage). In small numbers, they're amusing to watch, and their chirping can be quite cheerful. In large numbers, and particularly around grain or feed storage, they can be a big problem.
my ferocious former Marine
If a big, bad MARINE isn't big enough to protect the small and weak, then he missed the point somewhere along the line.
In the same vein, some folks keep mice, rats, gerbils, etc. as pets. And that's OK.
I still set mousetraps.
I suppose the difference between a pet and a pest, in some cases, is location and numbers.