Yes, it does annoy me a bit, but the problem with proving the theory is we can't find the missing links in the chain. We have found evidence of types a, b and c but not any specimens that were undergoing a change from a to b so that we can say that is where evolution is occuring. There is a lot of stuff that strongly supports evolution that we can witness, though this is more selection pressures, like the white winged and brown winged moths in an urban environment.
Now I don't believe in god/gods or any type of will behind evolution but 1 evolution that brings a lot of thought to mind is how did any creature evolve a 4 chambered heart from the ancient standard 2 chambered heart common in fish and things from which nearly everything evolved from (yes kind of contradicting myself since evolution isn't proven but strongly implied). That's a hell of a mutation and it's an all or nothing deal.