I always hear this question, "What about the thief on the cross? He was not baptized." This is posed as the ultimate gotcha, like I'v never considered it before. Actually the retort is very simple: the thief died in the OT under law, not the NT conditions.
Hebrews 9:15-17 (NKJV)
15 And for this reason Jesus is the Mediator of the new covenant, by means of death, for the redemption of the transgressions under the first covenant, that those who are called may receive the promise of the eternal inheritance. 16 For where there is a testament, there must also of necessity be the death of the testator. 17 For a testament is in force after men are dead, since it has no power at all while the testator lives.
The word Testament means "Will" like "Last Will and Testament." Many don't understand that the New Testament (Will) didn't begin until Jesus died and the Will read.
To help you understand, let's pretend you have an Aunt Loopy and you are hoping she going to leave you her vast fortune. It is necessary before you get anything that she die first. You won't get anything unless Aunt Loopy trips over one of her cats and breaks a hip. Then after going to the funeral you still must wait til the will is read, because as far as you know, she could have left everything to Mr. Fluffy.
The Good news is, Jesus did put you in His will and He didn't leave anything to Mr. Fluffy. Understand though, you will find out that their are conditions like there are in many wills. Since the New Testament is a Last Will in Testament it doesn't go into affect until it is read. Acts 2:1-36 is essentially the will being read, Acts 2:37-38 are the conditions, and Acts 2:41the receiving of the inheritance. To become a Christian you must hear the will read (Rom 10:17), believe what is written (Mark 16:16), repent of your behavior (Acts 17:30), confess your agreement with the will as read (Acts 8:37), and be at Jesus funeral (Rom 6:3-5).
So baptism, a New Testament practice, would not pertain for a thief dying under OT Law. Jesus was speaking to the thief, which means Jesus was still alive, and second, the Will wasn't read until Peter declared it on Pentecost.