The exergy analysis was applied to the phenomenon of detonation in gases. Separately were considered the component processes of the pressure shock and the chemical reaction of combustion. The considerations were illustrated by the examples of detonation of stoichiometric mixtures of dry air and hydrogen or carbon monoxide or methane. A measure of the thermodynamic imperfectness of process is the exergy loss in the process. It was found that exergy loss of the shock is larger than the exergy loss of the chemical reaction of combustion. A steady detonation characterized by the Chapman-Jouguet point occurs at the extremum of these losses. The exergy loss of combustion during steady deflagration, considered for comparison, is larger than the total exergy loss of detonation. It suggests that from thermodynamic viewpoint, the detonation is a better method of fuel utilization than the deflagration. Therefore, the consideration of any new industrial burner device based on the detonation process would be motivated.