Pantalaimon is Lyra's shape-shifting daemon. What's a "daemon," you ask? Well, the word "daemon" is an old one that has a lot of different meanings. In Christian writings, the word is sometimes used to refer to a demon, or evil spirit. In Greek mythology a daemon was a supernatural creature somewhere between god and man. In The Golden Compass, daemons are, more or less, your soul worn on your sleeve. After reading this book, Shmoop wants a daemon – really badly.
Pan hasn't settled on a shape yet, which daemons do when their human starts to grow up. The daemon's shape tells us quite a bit about its person. Over the course of the book, Pan turns into a mouse, a moth, and many other creatures. What shape do you think he'll eventually become when Lyra grows up?
As Lyra's daemon, Pan provides a foil to the headstrong girl: he is often cautious and wary of plunging headfirst into things. He's even a bit of a scaredy cat. Take, for example, when Lyra and Pan are snooping around in the Scholars' meeting room and have to find a hiding place:
Lyra could feel Pantalaimon bristling with anxiety, though he made no sound. For herself, she was pleasantly excited. (1.29)
This shows us that Pan is far more cautious than Lyra and often sees things she doesn't. For example, he is reluctant to trust Mrs. Coulter's glitz and glamour, while Lyra is completely charmed by her at first. And it's Pan who suggests at the end of the novel that Dust is good, not bad (23.100). So Pan often serves as a useful counterpoint to Lyra.
While Pan provides a contrast to Lyra, it's important to note that the bond between them is crazy strong. We see this again and again when Lyra and Pan test the boundaries of their bond. The climax comes in Bolvangar, where Lyra and Pan are separated and put under the silver guillotine:
Above the panting of the men, above her own sobs, above the high wild howl of her daemon, Lyra heard a humming sounds, and saw one man (bleeding from the nose) operate a bank of switches. The other two looked up, and her eyes followed theirs. The great pale silver blade was rising slowly catching the brilliant light. The last moment in her complete life was going to be the worst by far. (16.132)
To be separated from Pan is the worst fate Lyra can imagine. This underscores the horror of what the Gobblers are doing to the children.