In this arcade game Gunblade NY there are sort of shockwaves appearing underneath the helicopter. How can I make this effect in Unity?
With an animated mesh and some sort of transparent material / shader.
We have done a similar effect when user taps the screen in our Shadow Snake game ( look at the signature 
).
It was done using a simple texture with a ring drawn in it and a particle system. The ring was a particle which scaled and dissolved in time.