No theory in science can be proved; in this, the theory of evolution is equivalent to the theory of gravitation and germ theory. It has been better substantiated than almost any other theory, but it has not been proved as that is impossible in science.
See my FR home page for some definitions of "theory" and other pertinent terms.
As for transitional fossils, your understanding is incorrect. There are lots of them. What we don't have is the strawman fossils demanded by creationists, with something half formed, such as a half fish/half bird. Rather than supporting the theory of evolution, such a fossil, if shown to be reliable, would call much of what we have learned into question.
As for transitionals--here's one. Note its position in the chart which follows (hint--in the right center):
Fossil: KNM-ER 3733
Site: Koobi Fora (Upper KBS tuff, area 104), Lake Turkana, Kenya (4, 1)
Discovered By: B. Ngeneo, 1975 (1)
Estimated Age of Fossil: 1.75 mya * determined by Stratigraphic, faunal, paleomagnetic & radiometric data (1, 4)
Species Name: Homo ergaster (1, 7, 8), Homo erectus (3, 4, 7), Homo erectus ergaster (25)
Gender: Female (species presumed to be sexually dimorphic) (1, 8)
Cranial Capacity: 850 cc (1, 3, 4)
Information: Tools found in same layer (8, 9). Found with KNM-ER 406 A. boisei (effectively eliminating single species hypothesis) (1)
Interpretation: Adult (based on cranial sutures, molar eruption and dental wear) (1)
See original source for notes:
Source: http://www.mos.org/evolution/fossils/fossilview.php?fid=33
