Jiminy Cricket (conjectural name) is a character from the fairytale Pinocchio and appeared in Scared Shrekless. He is a parody of the Disney character of the same name, and has a similar voice, personality, and role.
Jiminy Cricket was seen in the Scared Shrekless story, The Shrekorsist. He was inside Pinocchio's head acting as his consciousness, and tells Pinocchio to do crazy, outlandish things. This is not an actual event, but a tale told by Shrek to scare Pinocchio. As such, he does not actually exist.