This tutorial link was working a few days ago. Now dead....

https://unity3d.com/learn/tutorials/topics/scripting/using-interfaces-make-state-machine-ai

Perusing the tutorials via the menu system, it looks like it was removed for some reason.

 

Odd, looks like they pulled it.
Although this tutorial is also quite good
https://blog.playmedusa.com/a-finite-state-machine-in-c-for-unity3d/

I did a chapter on using the Mechanim engine as a FSM in my Mastering Unity 2D book. It can be quite powerful but it's a little fiddly to implement in code.