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Archaeopteryx is a missing link between _____________

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Hint: Missing link is a non-scientific term for a transitional fossil, often used in popular science and media for all new transitional forms. The term was derived to describe the hypothetical intermediate form in the evolutionary series of anthropoid ancestors to the anatomically modern humans (hominization). Archaeopteryx is a genus of bird-like dinosaurs.

Complete answer:
Archaeopteryx lived in the late Jurassic period which is around 150 million years ago, in what is now southern Germany and Portugal, at a time when Europe was an archipelago of islands in shallow warm tropical sea and much closer to the equator than it is now. It was similar in size to the Eurasian magpie, with the largest individuals attaining the size of a raven. In spite of their small size, broad wings and inferred ability to fly or glide, Archaeopteryx had more common features with other small Mesozoic dinosaurs than with modern birds. Particularly, they shared the features with the dromaeosaurids and troodontids, i.e., jaws with sharp teeth, three fingers with claws, a long bony tail, hyperextensible second toes (called the "killing claw"), feathers (suggesting warm-bloodedness), and various other features of the skeleton. Thus, the archaeopteryx is termed the missing link between non-avian dinosaurs and modern birds.
In the 1970s, John Ostrom, following Thomas Henry Huxley's lead made public in 1868, argued that birds evolved from theropod dinosaurs and Archaeopteryx was a critical piece of evidence for this argument. It had several avian features, like wishbone, flight feathers, wings, and a partially reversed first toe. Dinosaur and theropod features, like the long ascending process of the ankle bone and bony tail among others. In particular, Ostrom found that Archaeopteryx was remarkably similar to the theropod family Dromaeosauridae. It had three separate digits on each fore-leg each ending with a "claw". Few birds have such features and birds like ducks, swans and Jacanas (Jacana sp.) and the hoatzin (Opisthocomus hoazin) have them concealed beneath the feathers.
Modern paleontology often classifies Archaeopteryx as the most primitive bird even though it is not thought to be a true ancestor of modern birds, but rather, a close relative of that ancestor. Conflicting theories exist questioning the position of archaeopteryx as the ancestor of modern birds. The fact that it had dinosaur-like features such as teeth along with light flight feathers like modern birds makes it disputable to classify it either as a bird or as a dinosaur. Thus, it remains a transitional fossil.

Note:
Theropods are a dinosaur clade, characterized by hollow bones and three-toed limbs. They are generally classified as saurischian dinosaurs. In the Jurassic period, birds are said to have evolved from small specialized coelurosaurian theropods. Feather-like structures are attested in most of the lineages of theropods.
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    Figure: Archaeopteryx