The kW Animation library does this; you could download the source code as an example.
In general, you run both animations in parallel, and lerp between the first and second animation over time. (Lerping translations, quaternions and scales separately). Remember to lerp quaternions the "short way round" and to normalize after lerping. Note that matrix lerping is a bad idea, because it is not volume conserving.
Also, if you go from walk to run, make sure to play both animations at the same phase, so that the right-foot-forward bits blend together. This means you have to pay some attention to stride length and animation speed when creating the animations, too.
