No, Victoria doesn't have the highest power prices in Australia. Not by a long way.
Domestic energy plans in South Australia (incidentally, currently under a Liberal government) are about 30% higher according to this comparison of various states and energy plans. The basic energy price in South Australia is about 50% more per kWh.
Yes, under the measure of proportion of the Gross State Product, Victoria did have the highest take in state taxes in 2017-2018 (which is what O'Brien referred to when first making the statement a year ago).
This statement is not so straightforward, though - state governments don't collect income tax, GST, nor fuel and alcohol duties. These are collected by the Commonwealth, with GST being redistributed to the state governments.
However, there are other taxes and levies, such as payroll tax (paid by companies), stamp duties on property sales, emergency service levies, which are set and collected by the state governments. There are also local government rates set by city and rural councils to provide services like rubbish collection.
According to the ABC, the Victorian state tax take did increase by 35% in the first four years of the current Labour government there. As a fraction of the state economy it collected 5.3% of its Gross State Product in 2017-2018, compared with 5.1% in New South Wales.
However, that year's take included a massive one-off port licence fee, which if disscounted from consideration means that Victoria and New South Wales were even.
Another complication is that mining royalties are not classified as taxes. NSW and WA both collected far more of these royalties than Victoria.
Finally, there are more than one way to assess tax burdens. The claimant prefers to use proportion of state economy (Gross State Product), but taxation per capita of population is much higher in NSW.