Any Creationist worth his or her salt will have used this phrase ad nauseum, in almost every debate and will have been told ad nauseum, that the Theory of Evolution neither predicts nor requires a complete set of transitional forms either extant or in the fossil record in the geological columns, for any evolutionary chain, and there are very good reasons for this.
Fossilisation is an extremely unlikely event for any species other than those, like some marine species, which inhabit specific fossilisation-friendly environments or whose dead bodies fall into such environments fairly frequently. Even so, the probability of being swiftly eaten by a scavenger is hugely greater than the probability of an intact body settling down undisturbed for the time needed for fossilisation to occur.
Even rarer is the possibility of soft body parts becoming fossilised, so we are almost always left with only the hard parts like bones, teeth and shells. It is no coincidence that most fossils are of molluscs, hard-bodied species like trilobites, skeletons and teeth and that the overwhelming majority of them are of marine species found in sedimentary rocks, or in gravel beds formed in river flood-plains where even the scavengers didn’t eat the teeth.
Another reason we should not expect a complete transitional series in the same geological column is also quite simple to understand. Frequently the picture appears to be that a species which had existed for a long period in the same location suddenly changed into a different species.
This is because frequently during the course of evolution, one more successful species will replace another in a given location. The picture we are seeing is not one of sudden evolution but of replacement.
I'll illustrate this with a recent known piece of biological history.
At some point in the past, squirrels spread across the northern hemisphere. In Europe they became the red squirrel, very common in our woodland and a familiar animal in children’s stories. In North America they became the slightly larger, more robust, grey squirrel.
Then, in 1876 grey squirrels were introduced to Britain. 100 years later, red squirrels were almost unknown over much of the mainland. They were still fairly common even in the 1950s but 20 years later they were restricted to a few off-shore islands and some remote parts of the Scottish Highlands where today they maintain a precarious toe-hold.
In the space of 150 years, for all practical purposes throughout most of Britain, the grey squirrel has replaced the red. Quite why this happened is still uncertain but it could be a combination of competition for food and habitat, predation on red squirrel babies by greys (which are known to take young birds from nests, unlike the wholly vegetarian reds) and because the greys are vectors for a virus, squirrel parapox virus which is relatively mild to them but fatal to reds.
But, however it happened, greys have now replaced reds. Any squirrel fossils being laid down in the geological column today would almost certainly be those of greys. Before 1876 it would certainly have been red.
To the slow process of geological strata formation, 150 years is almost nothing; a mere blink. A unit of time too small to be measured by even the most sensitive of geological dating methods with any certainty. An examination of the geological column for any part of Britain by some future palaeontologist, if he or she were fortunate enough to come across two fossilised squirrel remains from 1900 and 2000 respectively, would appear to show that red squirrels suddenly became grey squirrels overnight.
No transitional forms would ever be found because there never were any. Transition between reds and greys never occurred. What occurred was diversification over time due to geographical separation of gene pools, followed by almost instantaneous replacement of one species by another when events conspired to bring them together.
No doubt the debate would rage too about whether evolution proceeds by as gradual process, or by a process of ‘punctuated equilibrium’ with the ‘red-grey transformation’ being held up as an example of the latter.
No doubt too that some future Creationist will demand to see the transitional form and crow loudly, and to the amusement of anyone who understood the subject, about how its absence proves some god or other created grey squirrels, fully formed, in Britain.
And no doubt too, charlatan 'creation scientists' would rush into print to sell their 'conclusive proof of the final destruction of the Theory of Evolution' to the delight of those eager to have their favourite myth confirmed once again by a 'brilliant' scientist, and who have assiduously ignored all contradictory science, safe in the sure and certain knowledge that science is all bunkum. No transitional forms and just look at how they got squirrel evolution wrong!
Later note: Of course none of the above is arguing that there are no transitional fossils, since all fossils are transitional, nor that there are no series of fossils showing gradual change over time, only that there is a very clear reason why we don't often see them and why what can look like an evolutionary change was actually a replacement of one species by another so no transitional forms are to be expected in the local geological column. For a short list of some very good examples of transitional series, see Gradual Fossil Sequence.