http://answers.unity3d.com/questions/15289/can-you-create-transitions-between-levels-using-ap.html

using UnityEngine;
using System.Collections;public class LevelLoadFade : MonoBehaviour
{public static void FadeAndLoadLevel(string levelName, Texture2D fadeTexture, float fadeLength){if (null == fadeTexture){FadeAndLoadLevel(levelName, Color.white, fadeLength);}GameObject fade = new GameObject("Fade");fade.AddComponent<LevelLoadFade>();fade.GetComponent<LevelLoadFade>().DoFade(levelName, fadeLength, fadeTexture, Color.white, false);            }public static void FadeAndLoadLevel(string levelName, Color color, float fadeLength){color.a = 1;Texture2D fadeTexture = new Texture2D(1, 1);fadeTexture.SetPixel(0, 0, color);fadeTexture.Apply();DontDestroyOnLoad(fadeTexture);GameObject fade = new GameObject("Fade");fade.AddComponent<LevelLoadFade>();fade.GetComponent<LevelLoadFade>().DoFade(levelName, fadeLength, fadeTexture, color, true);}private Texture2D     m_FadeTexture;private Rect         m_Rect;private Color         m_Color;void Awake(){m_Rect = new Rect(0, 0, Screen.width, Screen.height);m_FadeTexture = null;}void OnGUI(){if (m_FadeTexture != null){GUI.depth = -100;GUI.color = m_Color;GUI.DrawTexture(m_Rect, m_FadeTexture);}}void DoFade(string levelName, float fadeLength, Texture2D fadeTexture, Color color, bool destroyTexture){transform.position = Vector3.zero;// Don't destroy the fade game object during level load
        DontDestroyOnLoad(gameObject);m_Color = color;m_FadeTexture = fadeTexture;StartCoroutine(DoCoroutineFade(levelName, fadeLength, fadeTexture, color, destroyTexture));}IEnumerator DoCoroutineFade(string levelName, float fadeLength,  Texture2D fadeTexture, Color color, bool destroyTexture){// Fade texture infloat time = 0;while (time < fadeLength){time += Time.deltaTime;m_Color.a = Mathf.InverseLerp(0, 1, time/fadeLength);yield return null;}// Fadeout to start withcolor.a = 1;Application.LoadLevel(levelName);// Fade texture outtime = 0;while (time < fadeLength){time += Time.deltaTime;m_Color.a = Mathf.InverseLerp(1, 0, time/fadeLength);yield return null;}m_Color.a = 0;m_FadeTexture = null;Destroy(gameObject);if (destroyTexture){Destroy(m_FadeTexture);}}// Update is called once per framevoid Update () {}
}

Application.LoadLevel