Red 40 is rumored to be derived from beetles, though I'm not entirely sure how true that is), hydrogenated oils (that most theater popcorns are drenched and cooked in), or artificial sweeteners and refined sugars (which many times are filtered through bone char, though no animal products are IN the sugar, they are used to process them).
Though I try to steer clear of all of the above due to health reasons (rather than vegan ones), I will indulge on the occasional conventional candy treat. Especially for the nostalgic sake of only eating them when I'm at the movie theater. The following are offered at most theaters and [depending on what kind of vegan you are] vegan friendly:
Mike & Ikes, Hot Tamales, Red Vines, Dots, Lemonheads, Airheads, Mambas, Jujy Fruits, Swedish Fish, Twizzlers, Black Licorice, Sour Patch Kids, And of course Sodas, Slushees, Juices, Black Coffee, Teas... to name the ones off the top of my head.
The article below also claims that Skittles have dropped their gelatin ingredient and gone vegan as of this year (2009) making them movie-snack friendly for vegans, but I'm unsure of the validity. It would be exciting to find the truth in it though, since I haven't had skittles since before I was vegetarian (over 18 years ago). I used to love skittles! Here's the article I found on VegNews with the Skittles mention and their info on vegan-movie theater food.
***My local favorite, is The Alamo Drafthouse in Austin. It is an amazing cinematic experience for anyone who loves movies, beer on tap, and eating in comfy theater chairs in almost complete darkness (if you're like me, remember not to wear a white shirt). They also screen many old favorites and cult classics for sing & quote-along nights, along with screening new releases. Its my all time favorite place to see movies in Austin.
Going to the movies wouldn't be complete without snacks, and their full-menu would agree. Their menu offers french fries (that are vegan), a falafel plate, salads, hummus and veggies with pita wedges, chips and salsa, and a few other items that are or can be made vegan upon request. For nights I don't feel like a beer I highly recommend their homemade brown sugar lemonade. So good! Their menu also offers movie-themed specials, and my all-time favorite was the Plomeek soup they served while Star Trek was in theaters (and as we all know Volcans are Vegan! just like their delicious version of Plomeek soup. mmm good).
They also offer regular theater candy- Mike & Ikes being the only vegan option, though they buy in bulk and fill up take-out boxes that are easy to eat out of and give you your money's worth. Everything I've mentioned above is brought to you while you remain seated. Just write your order on a piece a paper and slip it in the slot in front of you to alert their waiters to server you- its brilliant!
Lastly for the health-nuts out there who prefer not to indulge in the movie junk food, stashing a zip lock bag of dried fruit, nuts, organic dark chocolate (which is sold at some theaters), or panda licorice is a healthier (and vegan) alternative for satisfying your movie-munchie needs. Now I want to go to the movies!