From Academic Kids
"Missing link" is a term for a transitional form from the fossil record that connects an earlier species to a later one, or which connects two different species to an earlier ancestor. The missing link may have features common to both species; for example an early avian fossil could have feathers much like a modern bird but still retain the bony tail and teeth of a dinosaur. This would be considered a missing link between dinosaurs and birds. The term "missing link" often refers specifically to an animal representing an evolutionary transition from monkeys or apes to modern man. This usage is based on a misunderstanding of basic evolutionary theory, as biologists do not propose that such a link exists; rather, man has a common ancestor with other primates.
The missing link is a popular and not a scientific concept. Scientists studying the fossil record have long known that not every species that lived was 'lucky' enough to leave behind a fossil. More importantly, populations are constantly changing and species are statistical constructs and not ideal-types; therefore, there is not scientific meaning to the notion of a "transitional form."
This being said, a number of fossils exist that do indicate a link between earlier and later forms of animal. The lobe-finned fish Eusthenopteron is thought to be the first step towards land-dwelling amphibians; fossils of feathered dinosaurs in China seem to indicate that feathers were commonplace even before true birds evolved; and recently reexamined fossils of some amphibians have shown that some bones of these animals bear striking resemblances to those of fish.