Hi there,
Apparently they do, if you have a tank they say you should turn the light off during the night so the fish rest, how true this is i aint a clue but i got told that from a worker in a fish shop.
Fish do not have eyelids so they don't sleep like mammals do. However, some species do go into a semi trance. They need to remain semi awake to keep an eye out for predetors.
Some fish such as some shark species cannot stop swimming otherwise they cannot maintain enough water flow through their gills so therefore they don't sleep.
Some species of wrasse spin a ******* out of mucus and "sleep" in there whilst other fish bury themselves in the sand or lock themselves into caves and crevices.