The single best article on this topic that I've ever seen. Stacy Mantle cuts right to the heart of the matter w/o even bothering to try and use biblical references to 'prove' her point.
Do Animals Have Souls? - by Stacy Mantle
And if you prefer the biblical-type argument, the Pet Pastor's site adds one of many such articles tackling the same debate, this time by Deborah Jones - scroll down to find her article with the same title.
Do Animals Have Souls - by Deborah Mantle