If you, like me, want to catch 'em all (read: buy) and want an easy way to search for available, yet unknown pets on AH: I'd recommend you to try Pets To Buy!
This addon automatically creates an Auctionator "shopping list" consisting of battle pets you don't have. Every time you open the Auction House interface Pets To Buy checks what companions you have and what tradable ones you miss. There are no options or setups. It works right out of the box.
The list created is called "Pets to buy", and can be found in Auctionator's buy tab.
For this addon to have the intended (or any) function you need to have the Auctionator addon loaded. At the moment Pets To Buy is not compatible with other AH-addons, and probably never will be.
As a closing note. I'm not in any way, shape or form the author of Auctionator and can't take any credit for it, or answer any questions not directly related to the "Pets to buy" shopping list. I wrote this addon because I found PetShoppingList while browsing addons on curse.com; an addon which I really liked the idea of, but unfortunately couldn't get to work...