I've been doing a bit of reading into what really is the 'best' thing to buy from an ethical / green standpoint. There were a few obvious ones, like leather-free shoes, but there were a few surprises in that some well-known brands scored pretty well. All these ranking are from http://www.ethicalconsumer.org/
Not everything listed is vegan, but things that are, tend to be higher up the ratings :-)
It is a bit biased towards things I tend to buy or I have heard of the company, but I have listed the top ranking when my usual brand slips down the list, here goes:

Toiletries

Antiseptic cream - Nelson's tea tree;
Deodorant - Green People, Jason's deo stick (7th);
Lipstick - Green People;
Perfume - Dolma;
San. Pro. - Mooncup;
Shampoo - Faith in Nature (6th);
Moisteriser - Faith in Nature;
Soap - Natural Organic Soap soap, Faith in Nature soap (3rd);
Suncream - Green People (Yaoh not listed);
Toothpaste - Green People, Kingfisher;
Vitamins - Viridian;
Showergel - Yaoh, Faith in Nature;

Cleaning products
Multisurface cleaner - Bio D;
Laundry liquid - Bio-D;
Toilet roll - Suma recycled (5th), Naturelle (6th), Velvet (8th);
Washing-up liquid - Bio-D;

Clothes and Shoes
Shoes - Freerangers, Vegetarian shoes, Ethical Wares;
Fleeces - Patagonia recycled fleeces, Polaris, Rohan, Lowe Alpine, Mountain Equipment, Rab;
Walking boots - Vegetarian shoes, Ethical Wares, Gelert;
Sleeping bags - Vaude, Deuter, Gelert, Outwell (all 1st);
Rucksacks - Gelert (1st), Regatta (2nd), Karrimor (3rd), Eurohike (4th);

Money stuff
Internet banks - Nationwide (2nd), Smile (3rd);
ISA's - Nationwide (8th) [the only one I'd heard of!];
Mobile phones - Phone Co-op mobile (1st), Virgin mobile (2nd);
Broadband providers - Virgin broadband (4th).

Chocolate
Divine After dinner mints, Thorntons boxed chocolates (4th);