Willowtree,
Kathleen Hunt has written a pretty good list of transitional species between some of the major animal groups. Look at the lists. They are quite long and detailed. And the species depicted show the necessary "step-by-step" transitions, and occur at the right time in the geological record. There are very few significant gaps.
Now whatever the museums display to the public, scientists study the original fossils. Here is a
description of one fossil, that of the
Morganucodons. Note the detail. The study of these fossils are very detailed, and these are exactly the details one sees transforming when examining the evolutionary lineages.