Gelatin is derived from collagen found in the bones, cartilage, connective tissue, and skin of animals, traditionally cows. Most commercially-produced gelatin nowadays is produced from pig skin. If you have ever roasted a chicken or ham, you made your own gelatin. The juices in the bottom of the pan contain gelatin rendered from the collagen, and if you put the roasting pan in the refrigerator, you'll find some of the juice setting into a gel. (from www.ochef.com)
Gelatin is often used in candies, like gummy bears and marshmallows. It's also found in Jell-O, some yogurt and ice cream, some brands of frosted shredded wheat cereals, and many hard and soft gel capsules.
If you don't want to consume gelatin, there are alternative products available -- like vegan marshmallows (Sweet & Sara and Dandies brands are affordable and delicious), vegan gummy bears, Swedish fish, original Sour Patch Kids, and vegan- and vegetarian-labeled pills and supplements. These products are available at many health-food or major grocery stores. You can also locate them online at www.veganessentials.com.