We have found dozens. For example:
Indohyus - a fat rodent that lived about 55 million years ago. Looked like a little hippo. Evolved into -
Pakicetus. Skinnier version; spent a lot of time swimming in the water. Evolved into -
Ambulocetus. Like Pakicetus, but with webbed feet. Lived mostly in the water, like seals. Evolved into -
Kutchicetus. Getting longer and skinnier. Spent most of their life in the water. Tail getting longer. Evolved into -
Rodhocetus. Like Kutchi, but with nostrils moved much higher on their heads. Helped them breathe in the water. Long tail for swimming. Evolved into -
Dorudon. Tiny useless back feet, nostrils much higher, eyes moved lower (one on each side; better for water life.) Long, slightly flattened tail for swimming. Evolved into -
Odontocetes. No back feet, nostril so high now it's called a blowhole, wide flat tail. You also know these as "whales."