The standard gnome mounts would be the pony and the riding dog. If you want something exotic for the kobold, you could try going for a monitor lizard or maybe a crocodile.
As for exotic you could try leopards or wolves, or pretty much anything medium sized your DM will allow :)
The standard for kobolds is actually dire weasels, per Races of the Dragon.
I starting thinking about a Giant Ant, but they have a listed INT of null, so no training them RAW.
I did notice Giant Geckos in Rise of the Runelords book 1. Those would be cool.
Giant ant is still possible, although a bit difficult early on. If you have access to the 5th level Druid spell Awaken, you can give a giant ant +3d6 int. If you're planning on using it as a special mount such as what paladins get, you're out of luck though since awakened creatures can't be used as such.
The standard for kobolds is actually dire weasels, per Races of the Dragon.
And whoever came up with that idea for the book needs to be slapped. Seriously.
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The deluxe option would be a medium-sized dragon. I believe there's a prestige class or two in D&D that allow access to this (check the Draconomicon); good luck getting one though. Maybe through the Leadership feat as a cohort?
Another option for a kobold would be a deinonychus. They are pretty nasty customers, especially for their size, and IIRC can be taken as animal companions if you wish to go that route.
There's a creature in Crown of the Kobold King as a mount for Kobolds called a Slurk.
Also, if he's a spellcaster kobold, you can always have him ride around on a skeleton of something. Secret College of Necromancy (green ronin) has a 1st level necromancy spell that allows you to raise a single medium sized or smaller 1hd skeleton under your permanent control. I've actually done that with my kobold sorc in the past.