There have been numerous examples of observed speciation (see for example
http://www.talkorigins.org/faqs/faq-speciation.html). Even in larger mammals, several populations of wolves, for example, are arguably now distinct species. The whole concept of species is pretty nebulous though - the "classical" definition of species taught in school is pretty outdated.
For more significant changes, albeit with human help, just look at dogs and all the different varieties that have been created by breeding for specific traits. While they aren't "natural", they do illustrate the types of mechanisms and change that can occur - just accelerated and directed when compared to "natural" evolution.