How to I add an arm that follows me around with animation. I know I have to parent it to First Person Controller > Main Camera… But, what do I do for animations (running, jumping, etc.)? And I have a gun, but I want it only to appear (in my arm) when I press a key, or press a key to get rid of this.
For your character, you should create the skeleton, the skin and the animation in your 3D application (maya, blender, 3DS, etc). Then, once imported, split each clips, give them proper names and use animation.CrossFade in your scripts at the proper times.
The gun however just need to be attached to the hand bone.