There's even a new sock yarn from corn!
That being said, watch the dyes for the yarns that are vegan since some of the dyes are insect based. Most of the dyes are chemical though-which depending on the reasons for being vegan, might be something to try and minimized the use of (never mind the amount of processing some of the fibers go through). I'm vegetarian not vegan though
There is also:
Aloo- from nettles.
recycled cotton (ie Second Time cotton)
linen paper tape
organic cotton in natural colors (creams, browns, greens)
And of course many more I can't think of late at night.