This is one of the sources of the gaps in TOE, both for creationists to use and one that is scientifically relevant. One concern is that suppose the animal is buried and is fossilized and is then found. Some of the bones may be too damaged to figure out what they are and much of the anatomy (i.e. organs) aren't often preserved so what is extracted tends to be relatively little. Often fossils are found that after analysis are intermediate fossils illustrating how one character or species has changed to another. Given the evidence we have, we can provide theoretical explanations although getting the physical evidence is hard, as we have to see if the physical evidence adheres to the theoretical explanation, and if not, then we have to formulate alternative theoretical explanations.
One other concern is that for certain animals, such as some aquatic ones, they don't have bones but rather cartilage, which can be damaged easier. Take for example Meckel's cartilage, which is the carilaginous lower jaw of vertebrates. In humans this is lost and becomes the quadrate, maxillary, etc... .
Furthermore, when the evidence is found, we cannot always get the entire skeleton and so we may figure out that the bone is of something unknown but because of the scarcity, we don't know what animal it belongs to. After the entire skeleton is found, we have to figure out where it goes on the taxonomic classification. Some organisms undergo changes, such as turtles going from diapsid temporal fenestration to anapsid temporal fenestration. It looks noticably different yet is of the same organism.
The harder issues come with determining the physiology and anatomy of softer tissues and organs. Unless we catch a lucky break and they're nicely preserved, we have to try to figure out what they would be like by comparing the animal to other known animals, the ecology of the animals, etc... . For example, for the kidneys, the intermediate tubules will be much longer in terrestrial organisms than aquatic organisms. None of this is nicely preserved so it has to be figured out.
I don't think many creationists who point to the fact that many intermediate species and such haven't been found don't understand nor appreciate the difficulty and all the processes that occur for this to happen. It's useful to excavate new fossils but it's meaningless if we don't analyze it, and the analysis can be just as if not harder than finding the fossils. We may not know where to look for fossils of unknown, intermediate species and so it's more of randomized diggings, then hoping enough bones and details are excavated. For example, when the theories of birds evolving from pterodactyls was shot down and replaced with them evolving from theropods (or thermopods, however it's spelled), initially there wasn't substantial evidence until we were lucky and caught a break where the dinosaur was preserved in enough detail to show pretty much all the skeletal anatomy AND some of the feathers. But that's only one piece of the puzzle. The rest is theorizing how the excavated evidence can evolve from one species or trait to another, or for birds vs. theropods, what was the purposes of having feathers then and now? These questions have been answered but at the time, they weren't.
So when this big issue is pointed out, I don't think that the creationists understand that what they're criticizing isn't one simple process, it's many difficult processes that sometimes rely on luck in finding the properly preserved species. It's not as simple as grabbing two chemicals, mixing them and seeing an immediate reaction. Numerous intermediate fossils have been excavated so although we can somewhat map out the evolution both theoretically and practically, there still is much to be determined.
Just to show a recent example,
Ardipithecus ramidus was recently found sometime around October 2009 and is the oldest human ancestor known to date.
Oldest Skeleton of Human Ancestor Found
Previously,
Darwinius masillae was believed to be the oldest and found around May 2009.
"MISSING LINK" FOUND: New Fossil Links Humans, Lemurs?