Snakes are indeed a fragile specimen when it comes to preserving their skeletons. They have no prominent skeletal system beyond the vertebra. Their ribs are very delicate. And as their skulls are held together by muscles and ligaments, which is what allows it to be flexible enough to allow the snake to swallow its prey whole, they tend to fall apart rapidly upon death. This certainly means a frustratingly patchy fossil record of their ancestry.
However, enough is known from the snake fossils that do exist to give a good idea of their general development. A good summary of this can be found here.
The exact lineage of the earliest snakes is a subject of debate. However, a common point among possible theories is that they originally evolved either directly from early lizards or shared a close common ancestor to them. Some features of living snakes, such as boas and pythons, strongly support this; the boa's anal spurs and trace remnants of hips and limbs, for instance.
"Snakes are indeed a fragile specimen when it comes to preserving their skeletons. "
Actually, there is a fossil of a snake with legs. It was written up in 2000. Here's a link to a page, describing it:
http://www.karencarr.com/News/legs/legged_snake.htm