Michelle, go to Sephora or Ulta website and check out Tarte brand. Tarte is vegan and has been approved by Peta. Yes is a bit pricey however it will last and you will have healthy skin. I went to Sephora for a makeover and have been using this brand. All the drugstore brands are not that safe to use.
Try Gabriel or ZuZu Luxe (both made by Gabriel cosmetics). Really natural, very few ingredients, vegan, and great quality too. Tarte is vegan but it's not really all that natural - same with Urban Decay. Both are committed to having vegan products, which is a huge step in the right direction for larger companies. Do be careful to read ingredients though! I just looked at Tarte's website and they have a "Recreate" liquid foundation which is listed under "Vegan Friendly Products", and yet it contains beeswax... not really so vegan.
Good point, Starflower. I've noticed that there are some companies that use the word "vegan" even when some of their ingredients are from bees or small beetles. So yes, even if a product is labeled "vegan," we've still got to read labels!
I just picked up a few products by Physician's Formula Organic Wear line. They were all super reasonably priced and comparable to pricer products I was previously using (mostly by Bare Natural and Korres) I've also been looking into Tarte products. I guess your best bet is to research individual products online to make sure they are vegan before buying them in the stores. I'm going to do the same for Urban Decay because they have some pretty badass eyeshadows that I want, but I know the entire line isn't vegan. I'll do a review of the products after I try them out!