The fossil record is incomplete so there may well be an unknown species between any 2 of our ancestors. Other than that, the fossil record is good enough that there is no gap between one possible ancestor and the next one. The earliest known ancestors of humans are australopithecines. These are bipedal apes, or animals that walked on 2 legs but they had brains the size of chimps. From these the first species within the genus Homo evolved. There is disagreement whether Homo habilis is a valid species or not, but no question that Homo erectus belongs to the same genus as modern humans do as they have noticeably larger brains than austropopithecines and they were smart enough to migrate out of Africa, use fire, made tools, and built boats.
Neanderthals are not our direct ancestor as they evolved independently of modern humans. Modern humans evolved in Africa about 150,000-200,000 years ago from Homo erectus (although some people classify the African populations as a separate species they call Homo ergaster.).