1) No. Darwin beleived that many of the gaps reflected the limits of the geological record and would never be filled.
"I look at the natural geological record, as a history of the world imperfectly kept, and written in a changing dialect; of this history we possess the last volume alone, relating only to two or three countries. Of this volume, only here and there a short chapter has been preserved; and of each page, only here and there a few lines"
2) No.
3) The previous stages are not "species" - except possibly "man" and even then you must accept the species Homo erectus and Homo habilis as being something other than man. If what you are asking for is a fine-grained transitional sequence (because you won't see a fossil transform before your eyes !) then we really have only a few examples, all of marine life. However we do hvae the so-called "archaic" Homo sapiens specimens which while being accepted as part of our species fit in between modern humans and Homo Erectus.