Here you will find links to track and world records for all kinds of horse racing. If a track you are looking for isn't listed here, most likely they don't have their track records online (like all the NYRA tracks). As I can find them on paper and copy them, I will add them to this list. If you know of any other listings of track records that I missed here, please let me know.
Thoroughbreds
World Records - from Thoroughbred Champions shows the world record time for every distance from 2 furlongs to 4 miles on both dirt and turf.