If fossils are rare, finding transitional fossils will be even harder, given that the population with a new (useful) mutation will be significantly rarer than the established precursor, until the mutation-derived advantage plays its effects on overall survivability, and as a result, overall numbers of the species carrying the mutation.
And yet, they are occasionally found:
![](http://upload.wikimedia.org/wikipedia/commons/thumb/9/9d/Archaeopteryx_lithographica_%28Berlin_specimen%29.jpg/444px-Archaeopteryx_lithographica_%28Berlin_specimen%29.jpg)