An online tree of life with extinct species present?
The tree of life project is your best bet, its not 100% complete but it is more complete than any other project I have ever seen, and unlike most actually includes many if not most extinct taxa. http://tolweb.org/tree/phylogeny.html
It also includes citation and brief descriptions of links and groups to make it easier. Some extinct lineages suffer from unresolved phylogenies but many of those are in constant flux or are actually unresolved in the fine scale so I can't blame them, especially considering they were originally based entirely on genetics, and is updated constantly.