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With the 2010 Census rolling out, there might be ways to access the state tables from census.gov.
Here is a link to the economic information being provided right now: http://www.census.gov/econ/index.html
It may not be detailed enough for you but it might give you a starting point. The Census website has a mapviewer that you can use to explore the data or you can download the tables and join them to Census block/blockgroup/tract geometry.
In addition, ESRI does provide an extension to ArcGIS called Business Analyst that includes other economic and business data, you may wish to take a look at it: http://www.esri.com/software/arcgis/extensions/businessanalyst/index.html
Business Analyst isn't free but I guess they do provide a demo if you want to try it out. Beyond that, you would probably have to either speak to the individual states or go through a commercial business to get the data.
Hope this helps!