Yes, they do check all bags/backpacks/purses going into the park. The process goes faster if you have your bags unzipped/ready to show before you reach the front of the line.
Some of the parks have a line for "Guests without Bags" (AK for sure, and I believe MGM), as the security checkpoint is out in front of the turnstyles by a good distance, but at some of the parks (Epcot for sure, and I believe MK) the security guard is standing right in front of the turnstyles, and there's really no way to avoid the delay while they check the people in front of you, even if you don't have any bags.