This is a trilogy by Phillip Pullman and it is truley awesome.
One of the best things I have EVER read.
I've copied a plot synopsis from amazon of the first book (Northern Lights) to give you a taster.
"In this first part of the "Dark Materials" trilogy, Lyra's friend Roger disappears. She and her daemon, Pantalaimon, determine to find him. Their quest leads them to the bleak splendour of the North where a team of scientists are conducting unspeakably horrible experiments."