Character Animation

I'm confused. Do I need to have separate animations for hands and legs if say, I have a "holding-weapon" animation, and a jumping animation (with arms moving), and I need to have arms holding a weapon while jumping? If I blend the animations, the the hands will move away from the weapon-holding animation, and it will look really strange. What kind of animations do I need to make so it works nicely with Unity?

You can use animation blending and additive animations as they are explained here. I'm sure there are some examples on the wiki as well, but I don't have any on hand to give.

so yeah ^that will help you

also if you have more than one animation what you can do is attach an empty game object to the bone in the hand thats supposed to be holding a weapon then populate that object with all your weapons as children and then what you have is a weapon that will allows follow the orientation and movement of your hand -youll have to script them ofc to appear individually