I had no experience with game engines so it took a lot of tinkering and problem solving but I managed to string together a simple idle, walk and run cycle.
I started out creating a basic idle cycle with a character from my time on iAnimate. While I was happy with the cycle, whenever I tried to import it into Unity the mesh broke, with the head detatching from the body, and none of my animations were transferred across.
I tried several solutions to get the character into Unity but I reached the conclusion that the characters I had were not built to go into it. I searched online and through all my rigs to see if one would be suitable to transfer across while also allowing me to animate with it in Maya but could not find any. So I took the Max rig, removed the mesh from the rig and re-rigged it myself using abAutoRig, found at http://www.supercrumbly.com/3d.php?sid=173#.VXGcm89VhBc
With this rig I was able to animate all my cycles and import them into Unity. On each cycle I had to bake the animation into the bones and then export the bones and mesh as an FBX.
I imported the base rig, mesh and bones, into unity and then imported my 3 cycles. Using the animate tab I created transitions between the idle and walk and the walk and run cycles.
I found this exercise really interesting and rewarding. I always enjoy trying out a new piece of software and I found most of the issues I encountered helped me out with figuring out how unity works at a basic level, at least as far as creating animations that will work inside of it.