What evidence is there that the thief on the cross was not baptized? In Luke chapter 23, there is an interaction between Jesus and two thieves on the cross. One of the thieves mocks the Savior, telling him to save himself. The other thief rebukes the first, and confesses that he deserves to be on the cross, but Jesus doesn't:


  “And one of the malefactors which were hanged railed on him, saying,
  If thou be Christ, save thyself and us.
  
  “But the other answering rebuked him, saying, Dost not thou fear
  God, seeing thou art in the same condemnation? And we indeed justly; for we receive the due reward of our deeds: but this man hath done nothing amiss.
  
  “And he said unto Jesus, Lord, remember me when thou comest into thy
  kingdom. And Jesus said unto him, Verily I say unto thee, Today shalt thou be with me in paradise” (Luke 23:39–43, KJV).


This passage is frequently referenced (sometimes along with others) as evidence that baptism isn't a prerequisite for salvation. However, it's not clear to me how this passage can be used to make that assertion.

What evidence is there that the penitent thief was not baptized? (He already knew who the Savior was, so it would make sense that he had followed him at some point during his ministry.)
There is no biblical evidence to support any suggestion that the repentant criminal on the cross had ever been baptised, or not.  The Bible doesn’t say.  However, the fact that he knew about Jesus coming into his Kingdom may suggest he was thinking of the resurrection at the end of the time, when Jesus would be raised up and vindicated by God.  The Pharisees believed in a future resurrection, although the Sadducees did not (Matthew 22:23).

It is significant that Jesus used the word translated “paradise” which was used in Jewish literature for the Garden of Eden and also as a reference to heaven, the place of eternal bliss for God’s people.   The New International Version Study Bible says this by way of explanation:


  In the Septuagint (the Greek translation of the Old Testament) the word designated a garden (Genesis 2:8-10) or forest (Nehemiah 2:8), but in the New Testament (used only here and in 2 Corinthians 12:4; Revelation 2:7) it refers to the place of bliss and rest between death and resurrection (cf. Luke 16:22; 2 Corinthians 12:2).


If the repentant criminal next to Jesus was a circumcised and practising Jew, then he may have practised Jewish ceremonial cleansing by water.  As to whether he had ever been baptised by full water immersion by someone like John the Baptist, we shall never know.  Neither does Scripture say if he had heard the gospel message.  All we know is that this criminal acknowledged he was a sinner and deserved his punishment, but that Jesus did not.  When he asked Jesus to remember him when he came into his Kingdom, it was a request for mercy and a declaration of faith in the Kingdom to come.  Jesus, knowing the innermost thoughts and motivations of people, knew that this man was sincere and that is why he promised that he would enter into paradise.

Christian baptism (by full water immersion) in the name of the Father and of the Son and of the Holy Spirit is first recorded in the Acts of the Apostles, after the death of Jesus.  Jesus did not issue this instruction till after his resurrection (Matthew 28:19).  It is therefore impossible that the repentant criminal experienced such a baptism.  And the Holy Spirit did not come till after Jesus’ resurrection, at Pentecost (Acts 1:5).   The New Living Translation Study Bible makes this comment on Jesus’ post-resurrection instruction to make disciples:


  A disciple is one who repents of sin, trusts in Jesus for salvation and obeys his teachings.


There is no evidence that the repentant thief had heard the gospel message and obeyed Jesus’ teachings.  But his words to Jesus indicate repentance and trust in Jesus for salvation.  That was sufficient.