Here in NY, there's no wait period for rifles or shotguns, but they do a quick background check at retail AND gun shows, but as long as you aren't a felon, you can take it home that night.
Pistols are another issue. You have to have a permit, which can take anywhere from a few weeks to six months. Then, when you buy a pistol, you can't actually take ownership until you pass a background check, take the receipt (with proof that a trigger lock has been sold with it) to your local sheriff's office, add the gun to your permit, get a ticket that releases the ownership to you, give the ticket to the store where you bought the pistol THEN take ownership of the pistol.
So in other words, buying a pistol at a gun show is the biggest headache you could possibly imagine.