Fade in and out works fine.
1) Are you using GUI or UI?
-if GUI, then you have to fade out the transparency as well. (or delete that junk and go UI. A lot better and adjusts to screen resolution.)
-if UI then should be OK.
2) Is this from 1 scene to another? as in fade out, switch scenes, fade in?
Here are some pics showing how to do it with UI. You fade out and have to draw fullscreen color. switch scenes and reverse it.