Many Avatars often have animals at their sides as both friends and traveling companions. For Avatar Roku, that was Fang, a dragon.
Fang was eternally loyal to Roku, and was even there when he died, allowing the two to be together as they crossed over into the Spirit World and the Avatar Cycle. It was Fang that contacted Aang during the Winter Solstice and told him to go to Roku's home before the cycle was over.
Fang and Roku appeared later together in the second season when they told Aang about the Avatar State, further proving their strong connection to one another.