It is a straight forward enough question but it has a complex answer as, and you knew I was going to say this, it depends on the type of business itself, the type of customers you are targeting and your overall marketing goals.
Remember though, it is not JUST about traffic but about high quality leads that you are more likely and able to convert. On that note, it is best to mention that conversion should ultimately be your main goal anyway. You should be driving your paid and organic social media traffic to bespoke landing or relevant offer pages that will convert this traffic to business.
In my experience, on average, and all other things being equal, I see the lowest cost per click via Twitter. This coincides with the fact that I see most impressions and traffic from this medium. Next up is Facebook followed by the other usual suspects like Instagram, Pinterest, etc. If you are advertising to a business then LinkedIn is still a strong contender, though look for similar websites where your business based targets might hang out
Recently, for a client, I have managed to get his CPC on Twitter down to 28 pence which is very good when compared to other channels, especially the big players like Google Adwords and Bing Ads where you will see anything from 50 pence to several pounds with a cross-industy average between 2 and 3 pounds a click.
HOWEVER.... On the flip side, I consistently find that Twitter traffic is the hardest to actually convert, followed by Facebook, certainly when compared to the results on Google Adwords. This can be adequately explained by looking at the way people use Twitter and Facebook. They are not actually looking for your product or service at that very time so the vast majority of clicks will be casual, perhaps out of curiosity.
Tip... This is where 'Remarketing' can help. Look out for my article about it or give me a call.
The main bonus for advertsing on social media networks such as Facebook is that even if a consumer does not click on your Ad link through to your offer page or website, they still saw your brand. Furthermore, if they engaged in the Ad in other ways such as Liking ro Sharing then you may enjoy exponential more bites of the business cherry.
Nobody new will get these Ads right the first time so do not lose heart and persevere. I always recommend creating some engaging content to draw the click, target it correctly using the social media channel's filtering system and then run a smaller scale test campaign. If it works, then scale it up as you see fit.
If your expectations have not been met then review your sales message and call to action, and/or picture and try again.