What evidence about the ancestors of whales do fossils provide?

In detail here.
The first 'whales' was a small doglike creature about 1.7 meters long or 6 feet long that lived much of it's life around streams named Pakicetus over 48 million years ago. This creature had no flukes on its tail, had very forward nostrils for shallow snorkeling and had limbs functioned for walking.

Pakicetus in the next million years evolved into an alligator-like mammal named Ambulocetus, this creature fed in much deeper water, such as lakes or estuaries, feeding in the style of an alligator. It was about 4.15 meters long or 14 feet long. This was still a mammal specialized however for walking on land, thought it was more suited to hunting in water.

In another million years time, Ambulocetus had evolved into Maiacetus, an animal that had evolved for life in coastal sea areas, it was 3 meters long or 10 feet long. It had forelimbs like that of a sea-lion for use for walking on land and for swimming, and large hind limbs which it used to propel itself quickly through the water in a kicking motion, however, this creature still had no tail flukes.

Maiacetus in the next 9 million years, had perfected itself into a mammal suited for permanent aquatic life, this prehistoric whale is called Dorudon, it was 4.5 meters long or 15 feet long. It had much further back nostrils on its skull, its forelimbs had become flippers used for maneuvering in the deep sea, its body had elongated and become smooth with sparse hair and more blubber for insulation, its hind limbs had shrunk to the point where they were stubs, and it had its cetacean, signature tail flukes.

Dorudon in 3 million years time, evolved into Llanocetus, a mammal that was the first 'dolphin' like creature. It was 9-10 meters long or 30-33 feet long, its teeth had reduced in size, and there was also the first evidence of a baleen for filter feeding, its nostrils had moved over to the far back of it's skull, its elbows had become immobile, leaving only its flipper forearms, it's hind legs had disappeared entirely, only being some small bones located in the back of the creature, its flukes had been perfected, and a dorsal fin had formed on its back.

Whales evolved rapidly, in a rapidly changing environment, Llanocetus was one of the last prehistoric whales, which evolved into the whales we have today, which all sprang from one single ancestor which walked on the land.

Hope this helps.