Alas, Dude, only vegan marshmallows are vegan! ;) Here's an example of a source for the good stuff:
Sweet & Sara : Vegan Marshmallows
Regular (non-vegan) marshmallows are made with gelatin, typically obtained from the skins of pigs whom people have slaughtered. I wish marshmallow (and jello) companies were forced to advertise themselves by including that information!