Examples of species whose extinct common ancestor is well documented?

This phenomenon appears to be called "pseudoextinction", with dinosaurs as the classic example of an ancestor (of modern avians). We know tons and tons about dinosaurs and avians, such that we can be pretty damn sure that modern avians are the descendants of dinosaurs.

Granted, almost by definition no fossil evidence could yield conclusive evidence of such a relationship, as the fossil is just a fossil.

For example, I am not sure that anyone could point to a specific dinosaur and say "this is probably the ancestor of modern avians A and B." Though I could be wrong about that.

Not with fossils.

Very very few organisms ever fossilize and most of the organisms tissues are not represented in fossils. Less than 0.01% of all animal SPECIES have left a single fossil and most of those have not been found yet.

Because of how incomplete the fossil record is we can never say a species is definitively part of a lineage. in fact the basic assumption in paleontology is that you never have a direct ancestor (individual or lineage) and extraordinary evidence would be needed to demonstrate otherwise.

Only direct observations or high genetic sampling would allow something to be considered definitively a common ancestor at the species level. Now we do have this for some species. We also have fossil localities with really high resolution making common ancestors highly likely, but never definitive.

Part of the issue is also defining species, the definition for species used in paleontology is very different than the one used in say population genetic. Species are nota real things but a human category stuck onto what is basically a continuous spectrum, it only works because most of the spectrum is dead. There is no concrete point at which two groups are definitively separate species. Its a bit like trying to define the exact cut off between two colors. Some groups of biologists favor definitions which increase the number of species others ones that decrease it, and both work because for the actual practice of biology whether two closely related populations are or are not separate species really does not matter.