Q. Do you know where I can find the gross margin of the energy drink industry?

Try:

American Fact Finder http://factfinder2.census.gov/ 
         Have handy before searching:

• NAICS classification for your industry [for example NAICS 4244903 softdrink manufacturing contains "energy drinks"]
• Intended geographic area 
• View a quick How-to tutorial for how to build a table 

Note, tables generated by the US Economic Census may be long to download, stick to the bookmarking which will retain search parameters and recreate the table elsewhere; can be saved or mailed as a link.

Alternative: 

Mergent Online provides gross margin of individual companies, but not industry.  Seek and compare 3+ players in an industry (for example, Nike, Adidas, New Balance and Reebok) by retrieving gross margin metrics for each of these companies, and then extrapolating.