Importing animations

A google search led me to this link

http://unity3d.com/support/documentation/Manual/HOWTO-ImportObjectMax.html#bones

Exporting Bone-based Animations

There is a procedure you should follow when you want to export bone-based animations:

1. Set up the bone structure as you please.
2. Create the animations you want, using FK and/or IK
3. Select all bones and/or IK solvers
4. Go to Motion->Trajectories and press Collapse. Unity makes a key filter, so the amount of keys you export is irrelevant
5. "Export" or "Export selected" as newest FBX format
6. Drop the FBX file into Assets as usual
7. In Unity you must reassign the Texture to the Material in the root bone

When exporting a bone hierarchy with mesh and animations from 3ds Max to Unity, the GameObject hierarchy produced will correspond to the hierarchy you can see in "Schematic view" in 3ds Max. One difference is Unity will place a GameObject as the new root, containing the animations, and will place the mesh and material information in the root bone.

If you prefer to have animation and mesh information in the same Unity GameObject, go to the Hierarchy view in 3ds Max, and parent the mesh node to a bone in the bone hierarchy.