In any filing system, there is the inevitable "miscellaneous" file. The miscellaneous array of organisms grouped into the kingdom Protista do not represent a group of closely related organisms. Though this kingdom contains the ancestors of virtually all multicellular eukaryotic kingdoms, the protists do not represent a transition from simpler forms. There is no such transition. There are no extant transitional members between the bacteria and the protists.
If the lack of transitional organisms is a disappointment, the diversity is not. It is incredible that there are so many ways to construct single-celled organisms and so many ways for them to make a living. Sexuality ranges from none in the Amoeba to complex interactions and multiple generations in Plasmodium. In all of this diversity of diversity, there are similarities, which may or may not indicate phylogenetic relationship. There are similarities of photosynthetic pigments, cell wall composition, spore formation, and locomotion. In this kingdom of misfits, they are more like each other than organisms of any other kingdom. Despite these differences, somewhere in this kingdom lie the ancestors, dead or alive, of all other eukaryotes.