Someone posted a very useful link to this exact question many moons ago. I want to say it was Fishhead. Hopefully they can come with it again if they see the thread. Or you can try a search to find it. I am interested in this also, so please post the link if you find anything. Much too lazy to try the search.
Generally speaking W/P/S have lower margins than the exotic bets. The lowest margins for straight bets are found in NY and CA. NY has approximately 14.5% and CA around 17.3%. Many states have margins of 20% or higher. Exotic bets margins are almost always 22% or more no matter where you go. I believe the Racing Form has this type of information printed frequently.