It depends on the show, although as seven-time contestant Eric Mueller suggests in his answer to to Game Shows: When a person is selected as a contestant on Jeopardy or Wheel of Fortune, do they pay for travel and hotel costs? read more
Think of game show contestants as paid actors. In normal TV shows, you have to pay all the actors that appear. On game shows, you pay the host and sometimes you pay the contestants. When a contestant does not win anything, it is as though an actor was working for free. read more