It's pretty easy to come up with some plausible explanations for those, though I'm not a biologist and I'm sure that one could do a much better job. Some fish found it useful to jump out of the water at times, or to stay in places where they could be trapped when the tide went out. It's not a big jump from gills to gills that work when very wet to gills that work when somewhat less wet, etc. Each stage would be able to survive longer and longer periods of incomplete submergence. Alternately, perhaps the lung arose from something entirely different - many fish have gas bladders that can be filled with air to increase/decrease their density.
Likewise with birds. The thing to keep in mind is that evolution is a gradual process. You don't suddenly have a lizard with one wing and one arm, and half of its body covered in feathers. You have selection pressures for more pronounced webbing between the arm and the body (which they already had because it's useful near water) in tree-climbing lizards, and these slowly become the most important feature of their arms.
You're not going to see a whole lot of active speciation right now because most niches are filled. There were tremendous selective pressures for a species to arise that could breathe air when there were no predators on the land and when there was no competition for food on the land. Now, if there's a niche, it's filled most readily by a slight adaptation of an existing species. What niche did you have in mind that a species would need to undergo significant change to fill?
Edit: It seems to me that you're basically making an argument from irreducible complexity - you don't see how the in-between structures are evolutionarily favored. There's a great deal of work on this and I don't recall a high-profile creationist mentioning something as obvious as lungs in the last few decades. This is pretty settled, I believe - now they're fighting over bacterial flagellum, for which an evolutionary path has also been shown.
