What 3D application are you using to model your characters in? You will be animating your characters in your choice 3D app and then importing them into Unity. Unity has a basic animation system which will be upgraded in 3, but still will not be as powerful as a 3D app designed for it. If you post what modeling program you are using perhaps someone knows some good tutorials for it. Otherwise a quick Google search should be able to find some basic stuff for you.
Basically you animate your model and have groups of frames that refer to certain animations like 0-29 are walk cycle, 30-59 are run 60-89 are jump etc. Then you can look up how to import a model with animations in Unity to see how you can tell Unity to find each animation in your saved 3D file.
I think I understand the animation with keyframes as Ive done a house with an open shut door but im not sure about riggin the character or using it in unity.