Whales, in the 21st century, are among the best documented of evolving mammalian lines. It's technically not possible to have every transitional form - you'd need the fossil of every individual that had a beneficial mutation - we have a better lineage for whales than palentologists even hoped for a half-century back. There's a good description and diagram here. Whales are much better documented than, say, chimpanzees or gorillas, which is interesting given their habitat: the entire collection of modern chimp and gorilla fossils could fit in a file drawer despite there being hundreds of thousands of them walking around. The saving grace for whales has been the transition of ancient seas to modern land masses. Whale paleontologists have been both lucky and good. The book to read is Hans Thewissen's The Walking Whales: From Land to Water in Eight Million Years. I gave it a five-star Amazon review, also featured on my blog here. (I still like the author's illustration of the evolutionary process: he compares the changes involved by asking readers to imagine the Batmobile being given to a group of engineers with orders to use its parts to build the Beatles' Yellow Submarine.) One of the "walking whale" species, Pakicetus, achieved a unique kind of fame by appearing in bestselling author James Rollins' enjoyable thriller Ice Hunt. (Rollins had to fake the science allowing for mammals to be frozen in ice for millions of years, and the animals are bigger and nastier than we'd expect, but hey, it's fiction.)
Whales get several chapters in each of my books on animals. One of my favorite bits was reporting mammologist Karin Forney's description to me of her sighting of an unidentified beaked whale in Rumors of Existence (1995) and reporting on the identification of said whale (Perrin's beaked whale, Mesoplodon perrini) in Shadows of Existence (2006).
One of the most recent finds of an ancient whale was announced in the 2008 publication concerning a new species, Georgiacetus vogtlensis, the Georgia whale. The story of this 3- to 5-meter protowhale is told here. It was the most advanced whale of its time and may have been the ancestor of every modern cetacean. Its nostrils were halfway between the tip of the snout and the location of modern blowholes: the "movement" of the nostrils had been a bone of contention among YEC advocates. An even more spectacular find is the enromous toothed ancestor of the sperm whale, Leviathan melvillei (2010). It has its own documentary, although not yet its own book, unless you count novelist Steve Alten's use of the species in his most recent novel, Vostok. More authors will no doubt use it in fiction: I might do it myself some day.
Whales are among my favorite animals, and I'll visit them again in my next book. Until then, enjoy the marvels of whales past and present - in a book, on a whale-watching trip, or in videos and documentaries. They never get boring.
Journal of Vertebrate Paleontology issue featuring the Georgia whale
(Copyright JVP, educational nonprofit use)