Besides the dinosaurs, I can't think of many extinct species that don't have an extant branch.
Hmm. Birds are an extant branch of one of the major groups of dinosaurs. And I can think of a dozen or so lines of critters that apparently died out completely- triconodonts, multituburculates, trilobites, graptolites, most of the Ediacaran fauna.....
And while we are discussing whales, what about the tooth buds that baleen whales grow and then resorb as fetuses? Are those something that just look like the tooth buds in toothed-whale embryos, but are actually something completely different? Isn't it a bit more parsimonious to decide that baleen whales had toothed ancestors? Particularly when we have fossils of
Aetiocetus, which has teeth
and baleen?