Yeah, they usually contain gelatin, which is extracted from animal skins and bones.
Vegan gelling agents are available (and in fact, marshmallows originally used marshmallow roots), but I guess, gelatin is just so cheap, because it's a waste product from animal slaughter.
Bread often contains L-Cysteine, made from hog hair or poultry feathers, as a baking aid. It is labelled as food additive E920.
Potato chips often contain whey powder, and some aromas contain animal products even if you wouldn't expect it.