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To be more technical about it, Greymalkin and Paddock are the witches' familiars. A "familiar" is an attendant demon given to a witch to assist him/her in doing evil. The word is first seen in print in Reginald Scot, Discovery of Witchcraft (1584), a book that Shakespeare may very well have consulted. The fullest account is found in Matthew Hopkins' infamous Discovery of Witches (1647).
One reason for Shakespeare to give the witches familiars was that they seem to have been "the latest thing" in English and Scottish witch lore at the time. In other words, he was tossing in a contemporary reference that would have meant much more to his audience than it does to us, bringing the evil of the witches closer to his audience's immediate concerns and fears. The 1563 English law against witchcraft does not even mention them, but the 1604 law makes it a capital crime to "consult, covenant with, entertain, employ, feed, or reward any evil and wicked spirit." They are almost exclusively found in English and Scottish witch trials, being almost unknown on the European continent.
This quote occurs in Act I scene 1. Greymalkin is the witches' attendant, a gray cat. Paddock is a toad.
This helps to further create a sense of mystery and danger that surrounds these three weird sisters who are preparing to meet Macbeth for the first time.
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