A new quest will pop up once your first pet reaches level 3. It will send you to either Audrey Burnhep in Stormwind or Varzok in Orgrimmar. These trainers will offer a quest chain to battle specific Pet Tamer NPCs on each continent. Defeating each of these NPCs will reward a nice chunk of experience for your pets, as well a Sack of Pet Supplies (which has the chance to drop the Porcupette companion, among the always-useful pet bandages).
With the Classic beta now out it seems every related article somehow manages to spark the eternal war of "Vanilla was the best WoW sucks now" and "lol nostalgia goggles, Vanilla sucked, enjoy your two weeks of Classic". I have to say, even though I understand the principles behind the battle and the reasons people behave and talk this way... I actually REALLY don't get it on a deeper level.
Thanks so much for the replies. I think I am somewhat of a collector/roster builder. I go around doing the dailies but I also like buying pets just for their looks. I watched hazelnutty on youtube last night. I think I will focus on doing the expeditions when I have time to get all the pets that come from that. Then I will go back and do old raids like Eekwibble suggested.
Each battle that you win will yield experience for each pet that participated. However, deceased companions will not receive any experience (so make an effort to keep them alive by swaping in a different pet). Experience gains are based on your pet's level compared to the wild pet. Defeating a higher level opponent will grant more experience than a much lower level one, but be ready for a tough fight!