I started looking into this, and then I wished I hadn't!
There's a section on animal-derived additives in the back of the Animal Free Shopper (from the
Vegan Society). Mine's a little out of date, but it lists the following as potential ingredients in cosmetics:
Alpha hydroxy acids (AHAs)*, amniotic fluid, beeswax (E901), chitin, collagen, deoxyribonucleic acid (DNA)*, elastin, lanolin, oleic acid*, oestrogen*, placenta, propolis, ribonucleic acid (RNA)*, shellac (E904), silk, spermaceti wax, squalene*, stearin*, urea*, vitamin A*,
* indicates that the substance can be animal derived or synthetic.
I also happen to know that some lip glosses are, or contain, lard. Some liquid cosmetics contain glycerin(e)/glycerol(E422)
Finding out is tricky, since the ingredients are usually printed on a tiny little folded up label

I think that it's best to look for powder cosmetics, and products that look oil-based rather than creamy?