But we do have many fossils of transitional forms. Just go to a museum of natural history.
Failing that, you'll find transitional fossils by a simple google search. Look, it took me ten seconds to dig these up:
http://en.wikipedia.org/wiki/List_of_transitional_fossils
http://www.talkorigins.org/faqs/faq-transitional.html
http://evolution.berkeley.edu/evosite/lines/IAtransitional.shtml
http://evolution.berkeley.edu/evolibrary/article/lines_03
Edit: You see, cells don't leave fossils. One has to have a skeleton or exoskeleton to leave a fossil, not to mention happen to fall to one's death into an air-less environment in order to preserve it, which is why there are so few before the Cambrian era.
All evolution works by gradual change, so you'll never find a half-bacteria half-animal. Instead you'll find a long line of gradually evolving forms. As I've said from before the Cambrian era we don't have nearly that much fossils but more recent evolution is well-supported. For example the evolution of the birds from dinosaurs is well-documented. And clearly that is macro-level evolution
Here's also some contemporary observed instances of evolution: http://opinionator.blogs.nytimes.com/2008/07/22/a-natural-selection/
In one case mentioned in that link, we saw a completely new function (cecal valves) emerge in Croatian lizards in just under 50 years. Just think what could be achieved in millions.