There are several reasons that transitional fossils are rare. Firstly, the chance of any organism being fossilized is small, given that the conditions need to be perfect for fossilization to occur. Second, once fossilized, the fossils need to be found, which is problematic, because this requires old rock getting pushed up near the surface in many cases, and then not, say, being under the ocean. Furthermore, evolutionary transitions appear to happen relatively quickly (in geologic/evolutionary terms). This is due to the stability of ecological niches. It seems that transitions occur most readily when there is some disruption to the niche, which may happen because of a rare event such as a major volcano, asteroid impact, major river system being diverted, etc. In the mean time, it seems that slow genetic drift is dominant, which doesn't allow for radically different organisms to appear. Therefore, finding transitions is a rarity within a rarity. If you are interested to learn more, I would suggest picking up Gould's Full House. Its a masterfully written and easy to understand book about why and how evolution occurs.