Sorry for taking so long to respond. I went out to dinner with some family. I'm back now. To answer your question, the egg came first. There is an abundance of transitional species in the fossil record. We are lucky to have any, by the way, and evolution does not rest on the fossil record. We would know it's true even if we didn't have a single fossil. But yes, there are many. Thousands upon thousands upon thousands. Pick your species. If you're interested in humans, check out the many Australopithecines, Homo Erectus, Homo Habilis, and the others. Then archaic humans and modern humans. It's pretty neat stuff actually.
Where did what go? The transitional species? I don't think you understand how evolution works... Most all species that ever lived is said to be extinct, but even if that were not the case, evolution happens in populations, not in the individual. I don't know if Homo Erectus is in our direct lineage. Those examples I gave are some likely candidates, but even if they aren't our direct descendants, they display many features of the type of creatures you would expect around that time which did indeed inevitably give rise to modern humans. If they "became" us through many many generations, why would you suspect them to still be around? Part of what changes populations are societal pressures in nature. Changing climate, new predators, drive for food, water, shelter, etc.. In a changing ecosystem, you can expect more rapid evolutionary change.
What do you mean when you say "we can find dinosaurs but there is nothing in between"? I'm not sure what that means. No, a salamander never laid a beaver egg lol. And no fish gave birth to an alligator Why would you suspect that? No two modern species will ever give birth to a modern species. No monkey will ever give birth to a human. No fish will ever give birth to a bird. You don't understand how it works.
