Primate descended from Euarchontoglires (c. 95 mya) - ancestor to primates, rodents, lagomorphs, treeshrews, and colugos. First ancestor to have a vermiform appendix, among other things.
Euarchontoglires descended from Boreoeutheria (c. 115? mya) - first ancestor for which males had external testicles (although that's since reversed for the whales and dolphins along another line).
Boreoeutheria descended from Eutheria (c. 160 mya) - first ancestor to have placentas.
Eutheria descended from Theria - first ancestor to give live birth without an egg.
Theria descended from Tribosphenida, which descended from Zatheria, which descended from Cladotheria, which descended from the last common ancestor of all mammals - Mammalia (c. 180 million years ago). Mammals have middle ears with three bones, teeth being replaced only once or not at all, and give milk to their young (at least for the live species).
Mammalia descended from the Synapsid common ancestor c. 210 million years ago. Synapsids were originally defined as a subclass of reptiles, based on the structures of their skulls. However, it is more accurate to say that both the Synapsids and the reptiles descended from a common ancestor, called an Amniote (characterized by the sequence of early embryonic development).
Two different groups descended from the early aminotes, c. 320 mya, the Synapsids and the Sauropsida. The Sauropsida led to all modern reptiles and birds (with the birds descended from a branch of Dinosaura called Avialae).
So if you want a transition species, consider this one: http://en.wikipedia.org/wiki/Casineria, which lived 340 mya (and is the earliest known example of a creature with separated fingers/toes that end in claws or nails). You and I and a horse and a lizard and the chicken I ate for dinner are all descended from something like that.
