Why don't we still see planets in the process of being formed?

Firstly, I realize this takes billions and billions of years. I was watching an awesome show on the science channel (which only has awesome shows). I can't remember what it was called but it pretty much explained how planets came to be. One big rock had enough gravitational pull to pull in smaller rocks, and pretty much snowballed from there.

I'm curious if we have found any planets that are in this stage. Just a large mass slowing growing and crushing rocks to it's core.