But what would distinguish these intermediary species? They'd simply appear to be yet another subspecies. And, in fact, it's my understanding that we have found groups of animals that could breed with another group, which could breed with another group, which could not breed with the first group.
If your question is why we don't see a clear continuum of living species, then the answer is, again, natural selection. There isn't a continuum of environments, and the specialized species on either end are going to be more suitable for one sort of environment or another than the species in the middle. Evolution is supposed to be a very slow process - there's plenty of time for intermediary species to be reabsorbed.
Edit: To clarify the above, most biologists believe that most speciation occurs when two groups of the same species are separated and stop interbreeding. One remains in something like its old environment, and doesn't change much. The other slowly adapts to a new environment. If a group is constantly interbreeding, you're never going to see two distinct species emerge - the 'intermediary' species are just the ancestors of the 'fully'-evolved species.
