I second the Maltese vote.  I had a little maltese and he was so sweet; and loved to play ONCE he got to know the other dog.   
I think it's easier for the dogs to play if they are more evenly matched in size.  I have a Westie now, with Lucy, and they play well together.  I can tell he holds himself back, though, when he REALLY wants to get rough.  Kind of like an 11 year old trying to play with a 5 year old!   
Westies are great dogs; but I would absolutely recommend a fenced yard for a Westie.  They are high activity; high energy dogs.   
Thank Goodness I have Lucy to help him run off some energy!     
				__________________   Mommy to Lucy, Ringo, and Matthew       |