If say you have an object thats running under dynamics (dosn't have to be, it could be the case of a parented object, constriant etc etc) and its getting a little slow on simulation, or you want to edit the splines in the graph editor for a stylized look you need to convert the animation into keyframes.

What you do is pretty simple! You select the object that you want the keys applied to and go to edit->Keys, bake simulation, theres lots of options if you open the option box (such as timings for the keys, heiarchy etc etc.)