I have four pets, but I have no idea what one to train. One is the rooted grimoire, whirlwind grimoire, phoenix, and a sea dragon. I've been told before I should train my pets, so should I do all of them?
Look each one up on the Wiki and decide for yourself which one will help you most.
Probably the Sea Dragon is best to start with because it has very high stats and no selfish talents. The Phoenix is your school pet, so it will have some good Fire talents to help you out, but it also has selfish talents that won't help you at all.
The Rooted Grimoire is a Life pet, I think; and as for the Whirlwind, it's a Storm pet. Neither one of them will help you much, unless you get the general talents like Defender or Stun Resist.
If you're only going to train one, then train the sea dragon.