"Oh, it's so sweet! I want one!"
While I doubt that most - or even many of them - would stoop to larceny to fulfill their dream, I do spend a lot of time every day hearing visitors repeat some version of that quote.
Dutifully, a docent will usually emerge like a mirage at this point and give an unsolicited lecture about why that would be a bad idea and how exotic animals don't make good pets. It's a standard educational talking point at AZA zoos and aquariums. But how accurate is it?
It would seem obvious that most wild animals don't make good pets. That's because they're wild. It took countless generations of selective breeding to get our current domestic pets to where they are now. That's why we don't (well, at least shouldn't) take gray wolves or African wild cats and bring them home and expect them to cuddle up with us. They'd tear our faces off in no time. A wild-caught European rabbit given to a child as a pet would probably have a heart attack and die in minutes.
That being said, I suppose that having spent most of my life working with non-domestic animals has given me a less-mystified view of keeping exotic animals. In many ways, some species aren't much harder than a dog or a cat in the hands of a qualified caretaker. Once you get the diet and the enclosure and the proper vet care in place, a sloth really is less of a handful than a Pomeranian. The problem is, of course, that people who are not qualified seldom realize that they aren't qualified. There are sanctuaries filled with animals that someone thought they could manage, then realized they couldn't. Well, I suppose the lucky ones are the animals with owners who realized they were in over their heads. The less lucky ones died.
Salvador Dali taking his pet giant anteater for a walk. Even for a surrealist, this is kind of an inconsiderate move, and I'm forced to conclude that Dali (who also had a pet ocelot) was somewhat of a jackass.
1) Is it legal? If it's not... don't. That simple. Your animal's quality of life will not benefit from its being kept hidden in a backroom and/or confiscated, and then quite possibily euthanized after a suitable approved home can't be found. Illegal ownership only serves to tarnish the practice of exotic petkeeping, which never has the best of reputations.
2) Is the animal sourced ethically? By this I mean more than asking if it's been taken from the wild (possibly in violation of CITES or other laws). In the case of mammals (especially primates) was it taken from its mother at too young an age? Was it inbred to promote some genetic quirk, such as a color morph?
3) Why do you want it? This is a tricky one of answer, but one of the most important questions. An exotic animal is a living, breathing being, not a prop or a fashion accessory to be used for shock value. Getting an animal on a whim or to make a statement or because it's a fad is a great way to guarantee that you'll get bored with it sooner rather than later. Which brings us to #4...
4) Can you commit? Will you be able to meet the physical, social, behavioral, medical, nutritional, etc requirements of this animal for the duration of its life (first fun check - do you know how long it can be expected to live?) Especially in the case of reptiles, never get a juvenile with the understanding that you can find a new home for it once it gets big. You probably won't. Come up with contingency plans - who is going to take care of your lemur, your serval, your whatever if you are no longer able to? What will it cost to properly care for and house the animal - can you really afford it?
"Exotic pet" is kind of a catch-all term for animals are variable as geckos and jaguars. Some are a lot easier to satisfy the requirements for, are subject to far fewer laws, and require much less expense and challenge. Some are very difficult and would be best left to professionally run institutions with a full time staff of trained keepers.
So if you find that, alas, you can't commit to a sloth or a red panda, don't sweat it. Just go to your local zoo (maybe even see if there are volunteer or behind-the-scenes tour opportunities). You can think of it as your pet that we take care of for you - you just pop in and see it, and we'll scoop the poop.