There are plenty of tranistional forms that have been found.
The fossil evidence for macroevolutionary change is strong, but it is not the only line of evidence. The one thing that has become more obvious is that many other areas of science have come together to substantiate the truth of the evolutionary theory of the development and diversity of life. For example, up until the last couple of decades, creationists would crow about the lack of whale precursors. They riciculed the theory that whales came from earlier land mammals. Then scientists like Gingerich and Thewissen started finding whale intermediates.
Biochemical evidence from studies in the 1950's in the form of protein similarities indicated that whales were most closely related to ungulates. By testing a variety of mammals scientists concluded that cows shared more proteins in common than the other non-ungulate mammals. More inclusive studies along this line concluded that hippos were the closest related to whales of the ungulates. Genetic evidence recently has confirmed that affinity within ungulates.
Recent fossil evidence shows that ancient whales shared a peculiar ankle arrangement with artiodactyls, or even-toed ungulates. The atragalus of one of the early whales, pakicetids is shared with all artiodactyls. This confirms earlier lines of evidence from both protein and genetic evidence.