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They are all used after the Te-Form of Japanese verbs similar to subsidiary verbs, but they seem to differ from subsidiary verbs. What is their true nature?

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    Could you elaborate on why you think they seem to differ from subsidiary verbs? – Darius Jahandarie Oct 21 '14 at 4:59
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    At least ご覧 and 頂戴 are not verbs and they're used without する as in 来て頂戴 or 考えてごらん, although you can use ごらんなさい. As @Ookami mentioned, Japanese dictionaries call it 「補助動詞の命令形のように使って」. The 日本国語大辞典 calls it an abbreviation of 頂戴つかまつる, but irregardless of its etymology it might or might not have become grammaticalized. – blutorange Nov 22 '14 at 9:24
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No, they do not constitute their own class of part of speech. It is true, however, that they can function in such an "exceptional" way that it makes them look as though they constituted one of their own.

「ちょうだい」 is a noun by name (頂戴 in kanji), meaning "the humble act of receiving something".

Usage as a straight-up noun:

「おいしいハムを頂戴しました。」 = "I have (humbly) received some tasty ham."

Subsidiary verb-like usage:

Though it is a noun, 「ちょうだい」 can be attached to the [連用形]{れんようけい} of a verb to express roughly what the word "please" does in English. This would usually be more like a friendly request than an "imperative".

「たまには[電話]{でんわ}してちょうだい。」 = "Please call me once in a while."

Verb-like usage:

「ちょうだい」 can also function like a verb on its own without a "real" verb right in front of it. When used this way, it can only mean "Give me ~~".

「それ(を)ちょうだい。」 = "Gimme that!"

「ごらん」 is also a noun by category as one could tell from the honorific 「ご」 -- 「ご[覧]{らん}」 -- meaning "(your highly respectable) act of seeing". It is an honorific (respectful) form of 「[見]{み}ること」.

Usage as a straight-up noun:

「ご覧のとおりです。」 = "It's just as you can see."

Subsidiary verb-like usage as the shortened form of 「ごらんなさい」:

「[来]{き}てごらん。[手品]{てじな}をみせてあげる。」 = "Come over here; I'll show you a magic trick."

Verb-like usage:

「ごらん!」 = "Take a look!"

「ください」 is both a verb and a subsidiary verb.

As a verb:

As a verb, it is the imperative form of 「[下]{くだ}さる」.  「下さる」 is the honorific form of 「[与]{あた}える」 and 「くれる」, both of which mean "to give".

「ビッグマックをふたつ下さい。」 = "Please give me two Big Macs."

「これがスミスさんの下さった[時計]{とけい}です。」 = "This is the clock that Mr. Smith has given me."

As a subsidiary verb:

Attach it directly to the 連用形 of a verb and you will have a '(Verb), please!' structure. Careful writers will write ください for this usage in kana: It is the official rule, too.

「3[時頃]{じごろ}に[来]{き}てください。」 = "Please come around 3 o'clock."

「ボクと[結婚]{けっこん}してください。」 = "Please marry me!"

「おいで」 is probably the most complicated of the four words but I will make my explanation as concise as possible. It is both a noun and a compound word. Notice the honorific 「お」 once again.

As a noun:

おいで is a respectful word for "coming", "going" and "staying". I told you it was complicated.

「田中さんがおいでです。」 = "Mr. Tanaka is here." (He has just arrived.)

「どちらへおいでですか。」 = "Where might you be going?"

As a compound:

Forms an honorific phrase (again, for coming, going and staying) when followed by 「になる」、「くださる」, etc.

「[来週]{らいしゅう}おいでくださいますか。」 = "Would you please come next week?"

「いつも[夜]{よる}はご[自宅]{じたく}においでになりますか。」 = "Are you usually at home at night time?"

Quasi-verb-like usage (for a lack of word):

「ここへおいで。」 = "Come over here."

「[雨]{あめ}が[止]{や}むまでここにおいで。」 = "Why dontcha stay here until the rain lets up."

Subsidiary verb-like usage

Attached to a real verb, おいで can function like a subsidiary verb to form a friendly and honorific request.

「もうお[店]{みせ}も[閉]{し}まってるから、うちでご[飯]{はん}を[食]{た}べておいで。」

= "Since stores should be closed by now, please eat dinner with us here (before you go home)."

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  • in the ちょうだい(頂戴) you have a familiar relationship, like a mother talking to a child:

    座って頂戴/静かにして頂戴.

    In those case this form is close to the 命令形. See 大辞林.

  • in ごらん(ご覧) is a polite form for -teminasai (~てみなさい) that is also a 命令形.

    座ってご覧/静かにしてご覧.

    See 大辞泉.

  • in ください(下さい) is a polite way to ask someone (a teacher, a boss, older person, any one superior to you) to do something.

    座ってください/静かにしてください.

  • in おいで(御出で) can be use in a similar way as in ちょうだい but in this case you're not asking, you're giving an instruction.

    座っておいで/静かにしておいで.

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    It seemed to me like the OP already knew their meaning and was asking about their syntactic status in the language... – Darius Jahandarie Oct 22 '14 at 16:35

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