Mammals evolved from reptiles, that's for sure. Primitive living mammals, the monotremes (platypus and spiny anteaters) clearly show this, via many traits, like egg-laying, bones, and... even their penises.

But the reptiles from which mammals evolved no longer exist. In fact, if birds evolved from dinosaurs, the reptiles from which the mammals evolved disappeared even before them. In fact, they ruled the Earth before the emergence of the dinosaurs. Because they have already many traits hinting to mammals (like differentiated teeth), they were called mammalian reptiles. Some of them are presented here:

1.Cynognathus ("dog jaws") was a 3.3 ft-long predator which lived about 240 Ma ago, in the Lower Triassic. It belonged to the Cynodontia group (from which mammals evolved directly). This animal was cosmopolite (there was only one supercontinent, Pangaea), its fossils being found in South Africa, South America, China and Antarctica.

It had differentiated teeth, and, like mammals, a secondary palate in the mouth, thus it could breathe and swallow simultaneously. It had no stomachal ribs (like the reptiles), thus it could have a mammalian diaphragm muscle allowing him to consume more oxygen. The animal also seems to have had hair. These traits point to the fact that this reptile was "warm blooded".

2.Tritylodontids ("three knob teeth") were small and resembled rodents, but they were the only mammalian reptiles to survive into the dinosaur period (besides proper mammals), resisting to the Middle Cretaceous (100 Ma ago). One genus, Chronoperates, may have survived the dinosaur extinction until the Paleocene (55 Ma ago). They were herbivorous and warm-blooded. Fossils were found in the Americas, South Africa, Eurasia and Antarctica.
Oligokyphus, a well known genus, lived about 150 Ma ago. Tritylodon lived about in the same period.

3.Triconodonta are early mammals which were very close to the mammalian reptiles. They lived from Triassic to Cretaceous (250 to 64 Ma ago). They were small, furry, with long tails, and probably nocturnal, spending the day in burrows. Some triconodonts of them could have killed small dinosaurs.
Jeholodens is a well known triconodont that inhabited China 125 Ma ago. From head to tail it resemble a mouse. The tail was long and the digits prehensile. The sprawling hind limbs resembled those of a reptile and it could have an upright stance, but the forelimbs were right, like in mammals.

4.Anteosaurus lived in the Middle Permian (266-260 million years ago) in South Africa. This carnivore had a crocodile like life style and weighed 500-600 kg (1,100-1,300 pounds) being 5-6 m (17-20 ft) long, being the T-rex of its time.

5.Lystrosaurus ('shovel reptile') lived in Early Triassic, 250 Ma ago, in every continent. It was a heavily-built barrel-chested 1 m (3.3 ft) long herbivore, about the size of a pig or sheep, with very stout limbs. They lived in dry environments and were the most common herbivore of their times, making 95% of land vertebrates (the only genus of animal that dominated the Earth to such a level). It is believed they used burrows as shelter.

6.A famous mammalian reptile was Dimetrodon, which lived in the Permian Period, 280 - 265 Ma ago. It is largely connected to dinosaurs, when, in fact, this reptile is close to mammals. It was part of the group of pelycosaurs and lived in North America and Europe.

Dimetrodon was a top predator, up to 3.5 m (11 ft) long. The animal is famous for its spectacular back sail, which had dense blood vessels and was probably used to regulate body temperature; its surface warmed up or cooled off more efficiently the animal, enabling it to be active for longer periods. The sail may also have been used in mating rituals and to warn off other predators. The sail was supported by bone extensions of the vertebrae. A 200 kg Dimetrodon could have heat up in the sun from 26o C to 32o C in 80 minutes using a sail, thrice more rapidly.

Another pelycosaurs were herbivores, like Edaphosaurus. All pelycosaurs have differentiated teeth, like in mammals.

7.Kannemeyeria was one of the first herbivores of the Mesozoic and lived around 240 Ma ago.
It was about 3m (10 ft) long, about the size of an ox. The animal lacked teeth, having a powerful beak and strong jaw muscles. Kannemeyeria had a worldwide distribution, from South Africa, Argentina, India to China.