That is one problem with evolution. There's no way we'll ever find all of the fossils necessary to close up every little hole to make people like you happy. They'll probably find every fossil, documented evolution chains for millions of species, and you'll point to the one they can't find and say "That disproves your theory."
We are not talking about little holes, we are talking about humongous holes. Like the holes between mammals and reptiles, the wholes between birds and dinosaurs, the wholes between every major species on earth. There are no intermediaries either in the distant record or in the near record for any species.