About the links between extant and extinct forms:
http://www.tolweb.org/tree/
http://www.fmnh.helsinki.fi/users/haaramo/Index_tree.htm
These sites provide "trees of life" which one can navigate and find the "intermediate" relatives between present-day organisms and ancestors/representative close relatives of ancestors. The first site has some text about the groups you're reading, while the other has only the names of the groups and species, and scarce text, but as far as I remember, it's more complete extinct groups and species, which one can then note and look on some web search mechanism, if it really interests.
In defense of embryological/developmental evidence of evolution, but not necessarily of any Haeckel theory, despite of being strictly wrong, the development of most species gives somewhat of an intellectual/intuitive aid to help to see how the evolution between all these groups, distant or more closely related, has been possible or has occurred. Even thought the development, by no means the literal"record" of the evolution of a species playing in "fast forward".
There are, however, some specific parts which are somewhat like this, such as the evolution of heart between fishes and other vertebrates:
Cardiac Chamber Formation: Development, Genes, and Evolution
But as an counter-example, butterflies are not descendants of caterpillar-like organisms.
As "intermediate" examples, there are things like the vestigial tails of humans and great apes, and hind legs of cetaceans, which start to develop in their embryos, only to degenerate later. There are birds, like Hoatzin, which were able to "bring back" the development of actual fingers in the wings of immature birds, showing that the "genetic program" of the dinosaur's fingers is still there; similarly, it was possible to induce the growth of teeth in chickens, without making any genetic change on them, also showing that the "genetic program" for teeth is there, a remnant from toothed birds and dinosaurian ancestors, but presently deactivated.