"Missing link" is the term used to indicate a hypothesized missing stage in the evolution of a species. The theory of evolution by natural selection claims that each species has evolved from another in a step-by-step manner. Therefore, a continuous record of transitional forms should exist from the earlier form to the current form, each almost indistinguishable from those immediately before and after. Where such a transitional form is absent, it is referred to colloquially as a "missing link".
Many evolutionists consider the challenge to find missing links to be a Catch-22. This is because each missing link that is found creates two more new missing links. Thus the challenge can never be satisfied. This speaks for the inquisitive and never-ending nature of the scientific method.