We do know that Farmer Maggot had dogs. Granted, on a farm, dogs are not quite pets, but usually have a task to accomplish. Still, that's the closest actual book reference that occurs to me.
(cross-posted with Farael) Yes, Queen Beruthiel had cats; I suppose they would count as pets, though she was reputed to use them for spying.
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'Mercy!' cried Gandalf. 'If the giving of information is to be the cure of your inquisitiveness, I shall spend all the rest of my days in answering you. What more do you want to know?' 'The whole history of Middle-earth.. .'
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