The animation component is used to play back animations.

You can assign animation clips to the animation component and control playback from your script. The animation system in Unity is weight based and supports: Animation Blending, Additive animations, Animation Mixing, Layers and full control over all aspects of animation playback.

For an overview of animation scripting in Unity please read this introduction.

To play a simple animation use Animation.Play
To cross-fade between animations use Animation.CrossFade
To change how animations wrap (Loop, Once, PingPong) change the WrapMode of the respective AnimationClips in their import settings, or use AnimationState.wrapMode to change it at runtime.
AnimationState can be used to change the layer of an animation, modify playback speed, and for direct control over blending and mixing.

Animation also supports enumerators so you can loop through all AnimationStates like this:

// Make all animations in this character play at half speed
for (var state : AnimationState in animation) {
	state.speed = 0.5;
}

using UnityEngine;
using System.Collections;

public class Example : MonoBehaviour {
    void Example() {
        foreach (AnimationState state in animation) {
            state.speed = 0.5F;
        }
    }
}

import UnityEngine
import System.Collections

public class Example(MonoBehaviour):

	def Example() as void:
		for state as AnimationState in animation:
			state.speed = 0.5F

See Also: An overview of animation scripting in Unity is here.