The daemon is an idea borrowed from Socrates, who believed he had a divine presence within himself. He called it a "daimon" and it would warn him if he was about to do something bad.
For Pullman, the daemon was also a great literary device. As he told the Oxford audience: "The moment I thought of daemons was on the 16th draft of the first chapter. Before that I had to tell the reader what Lyra was thinking. I realised then I didn't have to explain so much. You don't need exposition. Exposition kills the flow of the narrative.
"The best advice ever given to a writer was by Raymond Chandler, who said, 'When in doubt, have a man come through the door with a gun.' This works. If you're stuck with the story, it moves it on like nothing else."
Lyra's daemon, Pantalaimon, "was my man coming through the door with a gun. It was a wonderful moment when I realised that."...And Pullman is working on a new Lyra book, The Book of Dust, which will be published in a couple of years or whenever he gets a long spell away from the autograph table.
By the way, his own daemon, Pullman said, is a raven.
What do you think your daemon is?