The example I use is Butterflies, which change from a crawling creature to one that flies, mid life.
Except we have a pretty good idea of how it happens.
Do you believe in eggs? That is, do you believe in organisms--including insects--that reproduce by laying eggs? And do you believe that those eggs don't have shells?
If so, can you imagine a mutation that makes an egg very slightly motile? The outer layers of such eggs is typically some kind of protein. Suppose that there is a mutation such that after the egg has grown to a certain size there is a biochemical response that causes the protein coat to contract when exposed to light. Lots of biochemicals react to light, and some of them change shape or react with other molecules under the exposure to light in ways that cause them to change shape. It just has be a tiny bit.
Now you have an "egg" that in its later stages of development moves away from light. Such an egg might plausibly be more likely to survive than one that stays put. So over time, the eggs of such insects that are very slightly motile come to predominate. There is no way around that if the mutation is heritable, so unless you don't believe in DNA--and chemistry--you have to accept that that happens. You could also deny the laws of probability, in which case I have a lottery ticket to sell you.
Now iterate this process over a few million generations. Can you see how you might go from a flying insect that lays eggs to a flying insect that lays slightly motile eggs to a flying insect that has a motile larval stage?
What we can or cannot imagine is irrelevant to what does or does not exist, so I'm not arguing here that "evolution is imaginable and therefore true", but merely trying to extend your imagination to the point where you are motivated to look more deeply into the subject.
My own belief is that evolution by variation and natural selection is not just plausible, but mathematically necessary: http://www.amazon.com/Darwins-...