Putting aside the possibility of any local ammendments, there is no code that requires the lights in a bathroom to be gfi protected. If your bath fans are above the shower, and if they have a requirement in the installation directions or ul listing to be gfi protected, then those need to go on a gfi. Strange enough, you can put a wp sconce into a shower and not have it gfi protected, if you are a risk taker, and still be code compliant.
