Not to be found. That does not mean they aren't looking...desperately. In his book, The Origin of Species, Charles Darwin said:
“The number of intermediate varieties, which have formerly existed on the earth, must be truly enormous. Why then is not every geological formation and every stratum full of such intermediate links? Geology assuredly does not reveal any such finely graded organic chain; and this, perhaps, is the most obvious and gravest objection which can be urged against my theory.”
Darwin knew about this problem but assumed things were still early in the search for such evidence. He assumed that they would indeed find them as the hunt progressed. Well, it's been 150 years since he wrote these words and they still haven't found any.
This problem is so well known that in 1972, Stephen Jay Gould co-authored a paper called "Punctuated equilibria: an alternative to phyletic gradualism". In this paper, Gould appealed to the idea that evolution must not have progressed gradually but rather in a pattern of punctuated spurts of large scale changes. This idea explains the lack of transitional forms in the fossil record by suggesting there was not enough time for such a fossil layer to be produced given such a short period of time during which the species was changing. There were long periods of time in which few changes occurred and then you have these relativity short periods of time in which large scale changes occur. Evolutionists coined the term "hopeful monster" to describe what Gould called "major structural transitions [which] can occur rapidly without a smooth series of intermediate stages."
So what is the primary evidence for Gould's idea of punctuated equilibrium?
Well, his evidence is...are you ready?...the lack of evidence.