Animation Loop

UPDATE - EVEN NEWER VERSION (2020.3.30f LTS)

nity now expose this property directly in the Inspector. Select the AnimationClip asset in the Project window, and check the Loop Time box in the Inspector:

UPDATE - NEW VERSION

elect the Animation Clip in the Project window, then look at the Inspector for a parameter called Loop Time and make sure it's ticked. (in the image below the animation won't loop)

Notice that there is no visible and easy way now to change a clip's Wrap Mode in the Editor (though there's an easy API call for that).
In order to change a clip's Wrap Mode you have to change the Inspector into Debug Mode. Then, make sure the Animation Clip is selected and you'll see the Inspector now have a drop-down menu for changing the clip's Wrap Mode (in the image below the wrap mode is marked with yellow while the loop option is marked with red)

DEPRECATED - OLD VERSION

o to the animation and set it as looping .In the Animation window look at the bottom for something that should say 'Default' - it's a drop-down menu with looping options (Loop starts the animation over, PingPong plays it back and forth, Clamp Forever freezes the animation at the state of the last frame etc.)