I have to tell you—the way you go about rigging and animating your character can, and most likely will, vary from the example shown here. It may depend on the software you are using, your needs, or your devotion to certain standards. That being said, most paths will allow you to bake animations and export them in the .fbx format. You don't have to do that though! If the Unity supports the native file extension of your software of choice (at the moment Unity recognizes the 3D Max, Maya, and Blender file formats) you should be able to import it as is and use it in Unity (I am personally not familiar with every software program there is for animation so I can't say for sure that you won't encounter any problems along the way). However, by baking animations and exporting them in more or less generic formats, we will be able to get on the same page regardless of where we've started from.