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The animal does have to die in order for gelatin to be collected, mind you. So, gelatin is by definition NOT a vegetarian-friendly food; even most people who eat fish and call themselves "vegetarians" avoid gelatin.
The best thing to do is to check the labels of candies or ask the person who made the dessert or suspect food if they used gelatin. When in doubt or no labels, just don't eat it. There is a vegan-friendly method of making "gelatin" derived from seaweed, try the asian market or Whole Foods near you to find some. It's good!
Yeah geletin isn't vegetarian. There are some vegan marshmallows you can buy online-I'm not sure where, though. But the animal having to die doesn't exactly make it non-vegetarian. Vegetarians still wear leather and suede, and animals have to die for that.