Pacifica is the only brand I know of that Sephora carries where all of their products are vegan. I know a lot of Pangea Organics products are vegan as are some of Urban Decay's. UD actually has an eyeshadow palette that is vegan. You could probably contact the companies directly for a list of their vegan products if Sephora's customer service can't tell you.
@Prenseslisa, Our blog did a story earlier this year that featured many of the certified vegan products available at Sephora. Click here to check it out: http://blog.sephora.com/2010/04/beauty-calls-help-
Hope that helps!