The week after I decided to go vegan, I realized I needed to buy some shoes. At that point, I decided if I wasn't going to eat animals, I wasn't going to wear them either.
The leather industry is pretty horrid. I always used to think that 'at least the leather is coming from animals that are getting eaten. Of course the truth is that animals used in leather creation aren't used in our food supply.
I know the wool industry is harmful and many sheep do die due to practices.
I found one article that talks about it but I've seen more.
http://www.veganviews.org.uk/vv77/vv77wool.html
There are animal friendly and environmentally friendly alternatives for both.