Unfortunately, I'll probably dealing primarily with stocks listed on American exchanges, I'll see if I can come up with a Toronto one.
Altria (nee Phillip-Morris, MO) is a great stock to get because it's a solid tobacco company with some great brands (Marlboro) and they're just entering the smokeless tobacco market, which could be a huge payoff. Also, this "light cigarette" class action hit the stock too much and I expect to see MO gap up in the future. And they pay a 4.20% dividend. It's hard not to like it.
For alcohol, the market seems to be going into liquor as opposed to beer these days, especially among the younger crowd (who tends to drink more). This isn't strictly empirical, but I think going into a liquor company is a better bet. For that, DEO is your best bet. They have a great stock of brands (Morgan, J&B, Cuervo, Tanqueray) and are have some beer and wine brands (but their strength is far and away their liquor). It's relatively cheap at 19.51 P/E and has a 3.90% dividend also.
I don't know too much about weapons, but if you're into military stuff, Halliburton and even Boeing are sound investments. Handguns, Smith and Wesson (SWHC) is the only one that comes to mind it's forward P/E seems a little high at 27.56 for manufactured goods in what seems to me a tight market, but there's not much industry data to go on (not very many handgun companies). They're trading on the upper end of their 200dma so this stock could move upwards (and it's been trending up all year). Analysts are bullish, so I'd say it's worth watching.
For gambling, you need to go where the money is, and that means what's hot. No casino's hotter than Sands (LVS) which has exploded over the past year, but I'm worried that the money might have been made there. It's the best casino stock out there, but it's the most expensive. Casinos are still a good investment, but I'm thinking with concerns over the Democrats taking over (and the economic / legislative ramifications) you might want to go a little cheaper. Harrah's (HET) is another good casino stock that's not so pricey as Sands.
As far as sex stuff, it's pretty hard for me to come up with a recommendation. I'm sort of cold on the industry because a lot of it is privately held, and the public issues don't get coverage. If somebody can come up with a good investment, I'd love to hear it, though.
However, I'd be interested to know why you're interested in sin stocks. As I touched on earlier, some people think a Democratic congress could hurt some of these companies (especially tobacco). Maybe you're thinking these were irrationally factored into the price and that these stocks could jump up after the election?
Edit: Full disclosure. The only stock listed that I own is MO.