In this video Richard Dawkins talk about intermediate fossils. He describes how the whales were evolved from a common ancestor who lived on land.
But his theory sounds more like a devolution. I thought evolution was coming from the sea to the land and then to the skies. Are there more examples where species evolve back and forth between the ocean and land or skies?
Does evolution go only in one direction?
No, it does not. There is no such thing as a goal of evolution at making things fly or at making things intelligent or whatever. There is no intrinsic directionality.
In short the reasons are 1) Evolution is much more than just natural selection 2) natural selection does not systematically select for a specific trait. Some traits are advantageous under some ocnditions, some other traits are advantageous under other conditions.
I won't talk more about the mechanisms of evolution here as it would take a whole book. Instead I will recommend a source of information for you to further your knowledge.
Source of information
As your question is very introductory and shows misunderstanding, you might want to have a look at an intro course to evolutionary biology such as for example Evo101 by UC Berkeley.
Devolution
Note that this term is rarely used in the scientific literature (actually I think I have never encountered it in the scientific literature). From wikipedia:
In modern biology the term [devolution] is meaningless: evolutionary science deals with selection or adaptation that results in populations of organisms genetically different from their ancestral forms, where evolution has no intrinsic directionality. The discipline makes no general distinction between changes leading to populations of forms less complex or more complex than their ancestors, and in such terms the concept of a primitive species cannot be defined.
The question is a bit unclear
There is a slight issue with the question as it is not that easy to categorize all animals as living strictly in the water, on land or in the sky. Note that almost no living things live strictly in the sky without ever touching the ground. Here are a few examples of limit cases
As a consequence the question is very undefined
Examples of potential interest to you
The question is undefined but here are a few examples of cases anyway that will interest you. For simplicity, I will reduce my list to animals only and will not consider similar cases in procaryotes, and non-animal eukaryotes such as plants and fungi.
Whose ancestors were terrestrial
Whose ancestors were flying
Again, categorization is not that easy. I just want to highlight the water beetle as example where the ancestor was marine, then terrestrial, then flying, then non-flying and finally living in the water again.
Related post
Evolution helps an organism to be successful in the environment in which it lives. In this case, the organism evolved to suit it's aquatic environment. So there's nothing called devolution. For example, the cave proteus is blind while it's ancestors weren't. It does not mean that it has devolved. It doesn't require well developed eyes in a dark cave. So it has evolved to suit it's environment. Same case here.
Adaption gradually leads to permanent changes...which is evolution. The most favourable,adapted character passes on to the next generation and it leads to evolution. Adaptation and evolution are mutually inclusive events.
