The remains of a very basal member of the whale lineage was described this week in Nature. Carl Zimmer's got the gist of it, and you can see pics at Pharyngula. In short, this new fossil material suggests that an aquatic mode of life evolved in the whale lineage at some considerably earlier stage than their predatory mode. The finding is interesting because it illuminates some of the earliest stages in whale evolution.
But at times like this, the term "missing link" likes to fly around in the popular media (but certainly not in Carl Zimmer's writing!). "Missing link" has a certain seductive quality in that it's a familiar concept and can be used to easily grab the interest of lay readership. But therein lies the problem: this does nothing to dispel the misleading notions carried with the term "missing link", and instead only perpetuates them.
As others have pointed out, I'm sure, evolution is not viewed as a chain or a ladder, and concepts that apply such linearity are definitely misleading. However, one could defend the term by nothing that, often times, a fossil might alter the grouping we make and thus "link" one group to another group -- something we didn't know before. But even if that is the case (and it rarely is), no single fossil holds a privileged place in illuminating the tree of life. We understand the importance of a fossil, such as Indohyus, because of what it shares in common (or doesn't share in common) with other fossil forms and other living taxa as well.
Indeed, these forms to which we often apply the label "missing link" do demonstrate structures and charicter combinations that are in some sense intermediate between groups as we recognise them, but that is somewhat misleading as well. For instance, Tiktaalik is widely regarded as a "fish-tetrapod intermediate". In a sense this is true, but it implies the reality of fish as distinct from tetrapods and that one animal somehow bridges this otherwise un-crossable boundary between types. Instead, we understand tetrapods as nested within the bony fishes, with the lobe-finned fishes sharing a special common grouping with them. Among these lobe-finned fishes exists a range of forms that are either more or less like tetrapods than others.
It is within this comparative context that transitions are understood. Sequences of character change are built up be recognizing the common features shared among groups in a hierarchy. It is thus a branching picture, rather than a straight chain with some missing links. The so-called "missing links" get portrayed as somehow essential to the whole story, the last piece of evidence required to prove some otherwise incomplete notion. In reality what they do is quite often to fit neatly into a picture that we already understand very well and serve instead to make the details much clearer.
In the case of Indohyus, it adds important new information in understanding the origin of whales, both from a phylogenetic perspective, but mostly from a functional and ecological perspective. It's not so much a "missing link" no longer missing, as a piece of the puzzle that helps us decide between competing solutions.