Hippocampus

Hippocampi (singular: Hippocampus) are creatures that from the waist up have the body of an stallion and from the waist down, have silvery fish bodies, with glistening scales and rainbow tail-fins. One has taken a liking to Tyson, and he named it Rainbow. In olden times, they were used to draw Poseidon's chariot and sea foam was created by their movement.

The Sea of Monsters
They are first seen taking Percy, Annabeth and Tyson to the Princess Andromeda. Later in the book the one of the hippocampus (the one named "Rainbow") saves Tyson from an explosion.

The Titan's Curse
They appear again in The Titan's Curse, when they alert Percy of the Ophiotaurus trapped in a net.

The Last Olympian
They appear at the end of The Last Olympian when they help Percy, Annabeth, and Nico get to Camp Half-Blood. Tyson seemed to get along with hippocampi and named one hippocampus "Rainbow". Also, hippocampi appear when Poseidon arrives to battle Typhon. They pull Poseidon's chariot out of the river and can wade through air as easily as water.

Trivia

 * Percy says the hippocampi are "not all that smart".
 * They refer to Percy as "My lord" because their creator was Poseidon.
 * They often rely on Percy to help them. That is how he first met the Ophiotaurus (with them asking him to free it).
 * The word 'hippocampus' is a part of the brain, which is ironic since Percy said that they are not smart.
 * Hippocampi are said to be able to move through the water at fast speeds.
 * They can be used as beasts of burden.
 * Poseidon's chariot is pulled by hippocampi.
 * In The Sea of Monsters, one of the hippocampi that Percy, Annabeth, and Tyson meet to get them to the Princess Andromeda is Rainbow, who rescues them after Polyphemus destroys their ride, the Queen Anne's Revenge, a pirate ship owned by Blackbeard, son of Ares, when Clarisse kept taunting Polyphemus as Percy desperately swims for the side of the Queen Anne's Revenge.
 * Tyson calls the hippocampi "Fish Ponies" because they look like a mix of a horse and a fish.
 * They are supposed to be the fully grown versions of sea horses.