No real transition fossils?
Well, we wouldn't expect to find very many, because of puncuated equilibrium(long periods of stability followed by a burst of evolutionary change. I know that's a poor explanation. But I'm not a scientist and U don't think you'd understand it if I tried to go deeper anyways), but we definitely have found fossils that show changes between species.
First of all, Archaeopteris is not exatly a fully fledged bird. It might not have been THE anscestor of all modern birds, but it definitely shows a sort of transition between dinsaurs and birds. It's not a full-fledged bird. I've never seen a bird with a jaw full of sharp teeth before, for instance.
And as for other transitional fossils, what about Lucy? Weive found plenty of early humanoids. Not all our direct ancestors, but there's definately a transition going on.
What about whales? We've found fossils enough to tract their development from land mammals to what we see today.
There's plenty more, but I'm not a scientist, as I said. Read a book or just do a freaking google search for crying out loud.
Not everything's been filled in, but given the unique conditions it takes for fossils to form you wouldn't expect to find the fossils of every species that have ever existed.