To be more technical about it, Graymalkin 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.
I come, Graymalkin!
This reference occurs in Act I scene 1. Graymalkin are Paddock are commonly believed to be witch's familiars or evil spirits in animal form which assist the first witch and the second witch. The third witch's familiar, though unnamed, is said to be referenced with the line "Anon." Graymalkin is said to be a gray cat, and Paddock is said to be a toad (or a hedgehog, "hedge-pig" (IV.1)). The unnamed familiar is thought by some to be an owl (IV.1). It must be noted that nothing in Shakespeare's text confirms these identifications. Act IV scene 1 cannot "fully confirm" these identifications so they "must be left undecided" (Bernice W. Kliman).
The introduction of evil spirits as familiars helps to further create the sense of danger and mystery that surrounds these three weird sister witches who are preparing to meet Macbeth on the heath for the first time.
Where the place?
Upon the heath.
There to meet with Macbeth. (I.1)