Being a Marksman hunter, your pet isn't going to be as tough or do as much damage as a Beast Master's pet. Although a pet with the Tenacity tree may make leveling easier, it's not hard-and-fast required. (I've been using a tallstrider with my current baby hunter because it's a pretty blue.)
Your best source for pet information is Petopia. Between the skill information and the gallery, you can pick a pet that will fit your preferred playstyle and your taste. There are 11 cunning pet families, 11 ferocity, and 10 tenacity.
I haven't leveled with a broad variety of pets - I used a cat 1-70 on my night elf, a wolf 1-70 and a bear 70-80 on my tauren, and my blood elf has used a cat, crab, and tallstrider at varying points. I've played at some point with a cat, wolf, bear, tallstrider, crab, and hyena (and dabbled at one point with a boar and a spore bat), but other than taming most things once or twice for skill ranks (way, way back), I haven't done much with the rest.
At the upper end, for raiding, you'll want a wolf. Their AP buff now stacks with other AP buffs (Might, Battle Shout), but is hunter/pet only. That's okay - it's enough to give them a competitive edge over a cat. Cats are still solid DPS, and the difference in output between a cat and a wolf isn't huge. Noticeable, but not enough that you're likely to catch flak for it.
For soloing, the bear's swipe, combined with Thunderstomp at higher levels, makes group pulls easier. (Note that the bear will indiscriminately break your traps if you let him Swipe at will, though.) The crab's Pin and the hyena's Tendon Rip both help keep things at range longer. (The crab is sturdier, though.) The tanking pets are good for quite a lot of group quests if you have a healer with you - the bear tanked the Headless Horseman multiple times at 67 or 68.
If you're a Night Elf, Shadowmeld + Prowl (cat) never really gets old in PVP. It's not as sweet as when Aimed Shot was a 3 second cast and didn't break your stealth till it went off, but it's still nice. Tenacity pets, though, do generally fare better in PVP, just from their survivability. Cunning pets aren't bad (I hear the spider's Web is nice), but are a bit squishier.
Pet talents start at 20; there are several good combinations, but these are the ones I tend to use:
Regarding food, bears eat everything - you can toss them whatever random food you find while questing, and it's all good. Crabs are a bit pickier, but they'll do fish, so if you're fishing, you should be all set. Most pets eat meat, and if they don't eat meat, they probably don't eat fish (crabs and turtles are the exception) and will eat everything else (bread, cheese, fruit, fungus). There are some oddballs out there, but Petopia's got a good table if food type is important to your pet choosing process.
- Duskhawk: wolf, bear, cat, hyena, tallstrider (wolf for raiding, bear for soloing)
- Duskmoon: wolf, cat, crab, tallstrider (crab for soloing, wolf for instances)
- Mabs: cat (she's only ever used the cat)