People who think in creationism or think about species rigidly might have a bit problem with that, so let me describe an example:
When are humans "adult"?
Legally, at 18 (or your national equivalent). However, everyone understand that people are becoming adult gradually. Sometimes, they "age" very quickly after some harsh experience (16 years old student who parties all days because parents pay for it vs 16 years someone whom father died and he has work to help feed his small sisters as family did depend on father's wage).
Now imagine that you don't have all this information, but very incomplete "images" or "screenshots" of this kind of development. There would be quite a mess from it. You have image of one kid at 13 who is still young, another kid at 19 who is partying, single image of this 16 year old adult who has to feed his family and image of 48 year old gentleman.
If you go with this mindset that most of species that ever lived you can't get and you are just guessing something from a few snapshots that are themselves incomplete as well (e.g. we often don't have whole skeleton but just single bone from a lot of species), your idea on what to expect will change. This is a first step. Then you need to realize that most of fossils that shows some transition do not form lineage, but instead branches that are related. Finally, when you understand this (and modify your expectations and "what to look at", you can take any relatively complete and well-studied set of fossils like human ones. On human lineage (with great apes), we can see gradual increase of brain and in the case of human, gradual decrease in size of jaw. Development of hip bone is nice as well as it shows gradual process of adaptation to upright walking.
Another line of examples, but again, you need to redefine your expectations, is to point on dogs. If we had dogs in our fossil records, there would be large amount of species, instead of one "dog" species.
Or you can just point out at plants and say that "species" does not really mean anything.