There are two golems in the Nether, like all other main dimensions (bar the Ender). These two Golems are the Light Golem, and the Blaze Golem.
The Light Golem (Tier 1) (TBC)
The Light Golem follows the player, while lighting the way, scaring off enemies that spawn in the dark. It is created with Glowstone and Spiritrock as an activator.
The Blaze Golem (Tier 2)
The Blaze Golem was a sentinel developed by pigmen to battle the Enderrace. It would be an understatement to say the project was a success, as the Blaze Golems would protect their master from anything that looked hostile, including each other. Later models were refined (Picture above), but by that time the pigmen were working on their final project. The hostile Golems were left in abandoned factories, whereas the new designs never went into production. The player, however, can change this.
To build it, the player must craft 3 Blaze Blocks, which can then be built into a T shape and place Spiritrock on top of the T shape.
The Golem will;
Defend the player from these all hostile nether mobs except for the ones that fly.
Walk through lava without dying. The player can utilize a saddle here to ride the Golem through lava lakes. It can also be controlled.
Follow the player around loyally. The downside of this is that they literally follow the player everywhere an have a tendency to get stuck.
-However, it cannot be built in other dimensions. If you leave the nether and go back, he will teleport to the nearest mossy cobblestone, which is hopefully your portal.