It varies, but gelatin (or gelatine) is made by boiling the bones of cows, horses, pigs, goats, or sheep. Sometimes you find Kosher or Halal gelatine, which does not include anything from animals which would be prohibited by Jewish or Islamic religious law.

Veganessentials.com has a good range of vegan marshmallow products.

A good gelatine alternative is Agar Agar powder (which is plant-derived). Personally I prefer this when making cheesecakes as it has no flavour of its own.

Many supermarkets stock them in areas where there are Jewish communities. There are also often small bakeries and kosher stores in larger communities that function as kosher mini-markets. It depends on your community. If you are in Arkansas, you are out of luck. If you are in Miami, they should be easy to find.

There are three possible answers. If the product is not kosher it is generally gelatin made from animal bones (usually pork and beef). If the product is kosher and indicates gelatin it is often made from fish and beef bones (and hides) with no pork. The two possible ingredients instead of gelatin are agar-agar and kuzu, they both can be used with the same sort of properties.

A colorless, odorless and flavorless mixture of proteins from animal bones, connective tissues and other parts as well as from certain algae (agar agar), When dissolved in a hot liquid and then cooled it forms a jelly-like substance used as a thickener and stabilizer in molded desserts, cold

Gelatin is made from beef bones, I believe!

Most commercial marshmallows are now made with gelatin rather that marshmallow. According to Wikipedia, gelatin is a translucent, colorless, brittle, nearly tasteless solid substance, extracted from the collagen inside animals' connective tissue.

If you're a vegetarian, that can be a problem.