Brimstone and Marmalade is a short story by Aaron Corwin, published on the Tor website. It's a delightful, surprisingly sweet, little gem of a tale about a little girl who desperately wants a pony for her birthday. Instead, she gets a demon. This is presented as a perfectly normal and reasonable activity -- pet demons can be cool (unless you want a pony), but aren't unusual by any means. And, as Mathilde's Nana points out, they can be great for convincing parents that a little girl is responsible enough to care for a pony.
It takes Mathilde a while to warm up to Ix'thor, but warm up to him she does. And Ix'thor seems to like her. When she asks him his name, he tells her at once. When mean Billy throws her collage in the mud, Ix'thor suggests she "destroy the interloper." Or at least feed him to the ravenous tongue-beasts of Garakh'nurr. (Mathilde doesn't know where that is.) She gets lots of candy when she takes Ix'thor along for Trick-or-Treating. ("Ix'thor says fear keeps the peasants in line.") And when tragedy, in the form of the horrible Becky, strikes, it isn't a pony that Mathilde wants. It's Ix'thor. She can't have him, though. Even miniature Dark Lords are weakened by sunlight, and after Ix'thor's darkened ball breaks, there's nothing the man from the demon shop can do. Perhaps a pony with glowing red eyes, then. One that will allow Mathilde to crush her enemies' skulls beneath its flaming hooves.
This story captures the feelings of not getting what you want, and then coming to like what you didn't want; of the loss of a beloved pet; of the trials that come with the Billys and Beckys of the world.
Recommended for people who like a bit of humor with their horror.
Squidges: Ix'thor is a demon, even if he does come across as more grandiose than evil. (He eats prepackaged grub souls, which are souls nonetheless. He suggests that Mathilde give him her soul in exchange for limitless power. (She turns him down.) It is implied that he either threatens people into giving Mathilde more candy on Hallowe'en or encourages her to threaten them. He and Mathilde may or may not have a greater plan for world domination.)
Check out Tor's website for more speculative fiction short stories.