The missing link is a popular and not a scientific concept. Scientists studying the fossil record have long known that not every species that lived was 'lucky' enough to leave behind a fossil. More importantly, populations are constantly changing and species are statistical constructs and not ideal-types; therefore, there is not scientific meaning to the notion of a "transitional form."
This being said, a number of fossils exist that do indicate a link between earlier and later forms of animal. The lobe-finned fish Eusthenopteron is thought to be the first step towards land-dwelling amphibians; fossils of feathered dinosaurs in China seem to indicate that feathers were commonplace even before true birds evolved; and recently reexamined fossils of some amphibians have shown that some bones of these animals bear striking resemblances to those of fish.
See also: evolution