Piggy is located at the Swamp Village Store where it can be purchased for 585 gold on the Original, 290 on Remastered. Piggy is replaced with the Buffalo Mace on Insane Mode on the Xbox One, Nintendo Switch, and PlayStation 4 versions of Remastered.
Piggy multiplies the amount of health received when eating fruit/exclusive food items in Wedding Crash/exclusive food items in Lava World/exclusive food items in Snow World to 2x (20% rather than 10%), and turkey legs or hamburgers (Lava World) to 1.5x (75% rather than 50%). This is extremely useful for bosses which drop food, especially during the Insane Mode Necromancer fight. This ability does not apply to the popcorn created by the Corn Boss. Also, eating food with Piggy changes the sound to a pig-like snort.
While at the apex of its potential while fighting Necromancer, it's still very useful anywhere else, just not as much.