The speaker’s guest in Robert Frost’s “My November Guest” is Sorrow, specifically his own personal sorrow. He directly refers to his guest in the first two words of the poem as “My Sorrow.”
The poem personifies Sorrow, as Frost, through the speaker, says that Sorrow loves, walked, talks, is glad, sees, vexes, and praises. I think the feeling Frost is exploring here is the idea that Sorrow has a beauty to it that we often don’t recognize. Then he expresses that beauty with the specific imagery of a wintry day: dark days; bare, withered tree, birds gone away; clinging mist; and desolate, deserted trees.
We don’t often ascribe beauty to Sorrow. We think of it only as a response to something tragic or regretful. Frost, as great poets can do, has written something that re-orients our thoughts and feelings and helps us see something in a new way. As he writes at the end:
. . . they are better for her praise
In other words, Sorrow actually improves November days for the speaker. Sorrow can actually add a depth of feeling, an understanding, to something that we don’t have otherwise.