What's in alcohol that isn't vegetarian?
First, a lot of cheese isn't vegetarian because it contains animal rennet. Unless it has a V label assume it isn't.
Parmesan isn't - this could be useful to know at restaurants, because lots of 'vegetarian' pasta dishes are sprinkled with parmesan cheese.
Laughing Cow Cheese is also not suitable. I think Dairylea is fine as an alternative.
HuffPo has quite a large list of cheeses to avoid.
Sweet Stuff: The main problem is that these things contain gelatin.
All Haribo-type sweets unless they say vegetarian. Generally, the harder the consistency the more likely it is to be veggie - the softer ones like Gummi Bears tend to contain gelatin.
Chocolate Mousse (beef/pork gelatin)
Jelly
Marshmallows
Most 'fizzy laces' are safe to eat.
I don't go to McDonald's, but I've heard McFlurries are not always vegetarian and even the 'veggie burgers' weren't! Can anyone confirm this? Also make sure to check what chips are fried in.