To address sboardsvt's comments, I'd say a major reason we haven't found more fossil evidence is the simple fact that whatever's left is embedded in the layers and layers of earth that has been created/shifted over time. The Ice Age(s) and shifting of the continents and glaciers buried and hid fossils under these layers. I'm amazed we find any, given all this.
As far as evolutionary traits, human embryos have gill-like structures and vestigial tails. Most vertebrates, in fact, appear very similar in embryo form. Plus, thanks to fossilized remains, we've been able to trace the changes in man's skull and body architecture as he adapted to his environment.
