In the animation world, transitions are known as "tweens", which comes from the term "in-betweens". That is, a gradual transformation from one value (set on one keyframe) to the next value (set on another keyframe).
Creating a tween in Animator is very easy! You only need to right-click on the constant body (a.k.a the line) between two keyframes, and select a type of easing curve.
In the example above, we start with opacity=0 on frame 1, and end with opacity=1 on frame 20. We connected these two keyframes with a "cubic" ease-in curve.
Tip: Your animation will vary slightly depending on the type of easing curve you choose to use.
Note: Now Animator auto-tweens for you, using "Ease In Out Quad" as the default, which you can of course change, and even fine tune via the Bézier editor.