Bats have always been one of the 'missing links' that people point to in evolutionary theory. They appeared fairly suddenly around 50 million years ago, with very few transitional forms. It's one of those classic cases of: If evolution is true, why don't we find more half-bats in the fossil record.
One answer is simply that bats are hard little critters to fossilize. They've small, and they don't necessarily live in habitats where fossilization is easy. Good fossilization requires that your body be quickly covered with fine grade sediment, a shallow lagoon or a river is great for this. A cave or the underside of a bridge along I-35 is not.
However, it may be much simpler than that. Several recent studies suggest that the finger elongation that forms a bat's wings results from a single gene mutation: BMP2. Comparing the development of mice to that of bats, one team found that surpressing that gene resulted in the bat not growing the long fingers needed for wings, while another team introduced the gene into mice, which proceeded to grow bat-like fingers. (I wish they'd included pictures, but I wonder if the genetic manipulation produced dead long-fingered mice...)
So in this particular care, an absence of transitional forms may mean that there simply weren't many transitional forms.