That's a good question. They are both possible.
The first is the normal way to ask the question. Note that this is a question like 'Who likes chocolate?' or 'What happened?' where you don't use the auxiliary 'do' or 'did'. You don't need it because the question word (Who/What/Which) represents the subject. You only need the auxiliary in questions where the question word represents the object or complement of the question ( as in 'Which animals do you like?')
The only situation in which you would use the second example is in conversation like this:
A: Do many animals live near your home?
B: Yeah, lots.
A: What kind? Bears? Moose?
B: No, nothing like that.
A: Raccoons, maybe?
B: No, I've never seen a raccoon.
A: Deer?
B: No, there aren't any deer.
A: OK, then. Which animals do live near your home?
B: Hmm, not sure really.
The speaker uses 'do' here to emphasis their question and to make a contrast between the animals which apparently don't live near B's home (bears, moose, raccoons, deer) and those which supposedly do.