Amphioxus

An amphioxus is also called a lancelet, and it is one member of the phylum Chordata. Lancelets are a member of subphylum Cephalochordata. Evidence points out that they once shared a common ancestor with vertebrates. Although they did not possess a brain, research has shown that the vertebrate brain may have evolved from the lancelet nerve cord. The lancelets live in warm coastal waters and exhibit filter feeding. They are only about 3 inches long and spend much of their time burrowing in the mud. Amphioxus show the three characteristics of Chordata: gill splits, a notochord, and a dorsal nerve cord.
http://www.britannica.com/EBchecked/topic/21580/amphioxus

Here is a picture:

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