Since we have one kid who's very sensitive to dyes, and they aren't good for anyone, we've bought dye-free candy for years. Much of it comes from Trader Joe's, but there are many candies out there without dyes, and even some with simple ingredients.
I'm not saying that these are good for you, or that your kids should have them. We've made a decision to have some sweets around the house, like Ghirardelli brownie mix or homemade desserts, and candy at the usual holidays, because I've seen so many people rebel against a strong no-sugar policy.
Without further ado, here's the lineup:
Chocolate (Lindt, Ghirardelli, or higher grade)
Black Forest gummy bears
TJs jelly beans
And of course anything from a natural foods store. Enjoy!