When you look at the fossil record it is tempting to say "Wow! With all these, why can't we show X?" But the proper way to look at it is "Gee, with so few fossils from all the hundreds of billions of organisms that have died, it is amazing that there is any continuity at all!" It takes a lot to make a fossil. Also takes a lot for a fossil to not be destroyed by erosion. And it takes a lot of luck to find then.
Just look at the Anasazi - well it would be nice. We have the structures the built, some pottery and other artifacts, but very little of the people themselves. And that was only a few hundred years ago.
As for the "missing link," that is a question begging term that makes the assumption that there will be a single fossil that one can point to and say "That is the intermediate step between non-humans and humans." It actually itself, as much as it is bandied about by the crowd that wants to be show A single "missing link," denies that which makes man man. It calls of evidence of the joining of the immortal soul to the body. But, assuming there is a single "missing link" look at it like this, if you take a pint of white paint and start spraying it, and gradually add, drop by drop, black paint to it, while maintaining a full pint of white paint, where does it become grey? With the addition of the first drop? The second? The hundredth? Would everyone agree? Then, what if for a few minutes you just stop adding the black but continue spraying? What if some of that continuum gets washed away?