Well, I try as much as possible to answer questions from my own actual knowledge. However, I did not actually know the answer to this one and was curious about it myself, so I looked it up.
Apparently, there is nothing really too horrible in them, except for the fact of how bad sugar and corn syrup are for you. The place I found said that part of the definition is "a confection made from the root of the marshmallow or from corn syrup, sugar, albumen, and gelatin beaten to a light spongy consistency" In case you don't know what albumen is, it is the protein from egg whites.
Anyhow, I will put a link here that shows where I got this info. Kind of interesting. Thanks for asking this, cuz I always wanted to know too!! (Feel free to give me best answer -- I love getting those -- but only if I really do make the best answer!)