Federal employment. Most federal employees will be covered by government insurance policies. Because the American government already has these policies in place, there's not much point in an insurance company trying to sell workers compensation coverage to the American military or federal railroad workers. 

Business owners. Some states exclude the owner of a business from being covered on their own workers compensation policy, while other states, like Washington, may allow it. 

Any volunteer-based field. A volunteer isn't an employee, so they won't be covered by workers compensation. Many organizations do buy insurance to protect their volunteers. But it's not a requirement, as it is in traditional employment. Exceptions to this include volunteer firefighters, who are usually going to be insured given the nature of the job. 

Informal work arrangements. If you hire a friend of a friend to run some fixes on your car, the transaction really begins and ends at that. There's no need to worry about insurance and paperwork — so long as they do the job and you pay them on time.