I want to blend my last frame with frame 1, so the animation look smooth.
if you are importing from an animation package, check this page from the users guide: http://unity3d.com/support/documentation/Manual/Character-Animation.html#ImportSplit
in particular, look at the "loop" option at the bottom of the fbx importer where you assign start/end frames to animations. unity can add an extra frame that will make the animation loopable by matching the first and last frames.
you can also go back to the animation package you used and make a new keyframe just after your current last frame and then copy all of the keyframe data from frame 1 into this new last frame.