I ran into what I believe is a bug in version 4.3 of Unity. It looks like 2D sprites have a tendency to lose their transform gizmo. Due to my slow internet I haven't downloaded the latest release so I have not determined if this has been fixed yet (v 4.3.3 is the latest as of writing - if this has been fixed please let me know by leaving a comment below) but I didn't see anything in the release notes. In the meantime, I have a temporary work around.
As a temporary fix, to get around this issue, just make sure your sprite has a parent in the object hierarchy. If you just want to draw the sprite you can create an empty game object as the parent, at least until the issue is fixed.
- From the menu select GameObject -> Create Empty
- Rename your empty game object to something that makes sense
- Drag and drop your sprite underneath the newly created empty game object
And that's it. Now you can select the parent (empty) game object and you will have a transform gizmo! Hopefully this issue gets fixed soon.