Pharyngula posts a piece about the fossil record preserved in our DNA. The example he uses is the yolk sac:
By comparing the sequences of genes of known function in different lineages, we can get a measure of divergence times … and in the case of some genes which have discrete functions, we can even plot the times of origin or loss of those particular functions in the organism's history.
Here's one example. We don't have any fossilized placentas, but we know that there was an important transition in the mammalian lineage: we had to have shifted from producing eggs in which yolk was the primary source of embryonic nutrition to a state where the embryo acquired its nutrition from a direct interface with maternal circulation, the placenta. We modern mammals don't need yolk at all … but could there be vestiges of yolk proteins still left buried in our genome? The answer, which you already know since I'm writing this, is yes.