I'll be writing a doc for this since it comes up every now and then, but this question was answered a few times before, albeit in different contexts (which may not be exactly applicable to your setup).
If you want advanced reading before I finish writing that doc, you can snoop around these topics:
Unity Runtime Performance Hacks?
Unity Performance Impact
A limit on deformers?
Unity best practice
Again, these are in different contexts and may not apply to your setup.
There are also things that weren't mentioned like minimizing the number of dopesheet items.
If you can give us more details about what your game and what your skeletons are like, we may be able to give you more specific advice.