Does a cash advance or payday loan show up on your credit?

Only if you default.

If you get the loan, pay it off and otherwise have NO issues with the transaction, no it does not go on your credit at all. And that can be a bad thing.
You WANT good lending transactions to be on your credit.

What you will have to do if you want it to show up is get the paper work from Equifax I think..and fill it out, then have the lending company sign it .

I do not remember what the paperwork is called.. but if you notify equifax about wanting to add something to your credit, they will know exactly what you are talking about.

But other then taking that step... if all goes well with your loan.. you will never see it on your credit.