It depends on the state that has the gun show. Private sellers don't have to do a NICS check in states which have no requirement like Virginia. Federal Firearms Licensed dealers must do a NICS check.
There is no such thing as a ‘gun show’ loophole, only the distinction between licensed dealers and private sellers. Private sellers can sell guns at gun shows and often do. Watch out for legislation that defines any transaction involving firearms as a ‘gun show’, thereby regulating ALL sales and defining private sales out of existence.
No checks are needed for sales made in the parking lot. I picked up a .237 Roberts in excellent condition that way.