I’m not going to say much about this since Ed Yong has an excellent write-up, but a new feathered dinosaur has been discovered, called Tianyulong. As you can see in this image of the fossil, it was bristling with a fuzz of thin fibers — proto-feathers.
There are a couple of noteworthy features in this creature. One is apparent: feathers just didn’t bloom suddenly in evolution, but appeared in steps. This animal has ‘feathers’ that don’t branch like those of modern birds, but instead form more of a furry coat than a set of flat blades.
The other cool thing is that this is an ornithischian dinosaur; most of the other dinosaurs that have been discovered to have feathers were saurischian. What that means might be made more clear by this diagram:
It implies that just maybe the last common ancestor of the saurischia and ornithischia were also covered with proto-feathers, which means that feathers may be a primitive state in this lineage.
Zheng X-T, You H-L, Xu X, Dong Z-M (2009) An Early Cretaceous heterodontosaurid dinosaur with filamentous integumentary structures. Nature 458:333-336.