This is obvious, and as usual with me, there are two answers depending on my mood. The first and foremost animal I would keep would be an Okapi. These are wonderful creatures. They are between a zeebra and a giraffe. They are rare, they are precious, and they are not quite horse size. To keep them, they'd need a paddock with their native environment painstakingly copied to ensure their happiness. I would also find ways to entertain them and keep them active and engaged – in many ways if you elect to keep a pet, it's your responsibility to make their lives, quite literally, the Life of Riley.
The other pet that I would keep would be river otters. They are the definition of playful in the dictionary and I would again have to keep them in a crafted environment and occupied at all times to make sure they lead a perfectly delightful life full of love, pleasure, and happiness. Once again you get to understand the role of human as keeper. If you keep a thing, you best be prepared to sacrifice for it. You are removing them from a huge amount of their natural life. That trades price is abject paradise, and it's your job to ensure it never changes.
So will I ever have pets like these? Not in Michigan. Plus I'm not a zookeeper so without winning the lottery keeping a non-domesticated animal in this framework would be impossible. If I even thought about following any of this I wouldn't be able to keep up and then I would be guilty of the worlds worst sin. Keeping without permanence. That's the definition of selfishness and the soul of vile depravity.
If you think my opinions on pets is harsh, you should hear my thoughts on human beings who abuse domesticated animals! But that's another post.