Set rotation interpolation for curves

To set the rotation interpolation used for new curves

Select Window > Settings/Preferences > Preferences and select the Animation category under Settings.
Under Rotation Interpolation, select an interpolation option from the New Curve Default drop-down list.

To change rotation interpolation in existing curves

In the Graph Editor or Dope Sheet, select the curve whose rotation interpolation you want to change.
You can change the rotation interpolation type only on rotation channels that have keyframes on all three channels (rotateX, rotateY, rotateZ). In addition, because the rotateX, rotateY and rotateZ channels always share the same interpolation type, changing interpolation for a single channel such as rotateX, automatically changes rotateY and rotateZ as well.
Select Curves > Change Rotation Interp and select the interpolation type you want from the list. See Change Rotation Interp for descriptions of the options.

Example

To change Euler interpolated rotation curves of a sphere to Quaternion interpolation

Select the sphere that has animated rotation curves with Independent Euler interpolation. For this example, the Euler rotation animation occurs from frames 1-200 (0 to 1020 degrees).
Open the Graph Editor.
Select the sphere’s rotation curves.
In the Graph Editor menu bar, select Curves > Change Rotation Interp, then select one of the Quaternion interpolation types.
The rotation interpolation of the selected curves changes to Quaternion.

Note
If you switch the rotation curves back to Independent Euler, the curves will not return to what they were when they were Euler. Instead, the resulting curves will be the Euler versions of the Quaternion solution. Since Quaternions solve for the shortest solution to a position, the multiple rotations that existed with the original Euler interpolation were deleted when you switched to Quaternion. Therefore, switching back to Euler doesn't return the rotations to 1020,1020,1020, it returns the curves to the Euler equivalent of the Quaternion solution (which in this example is 60, 60, 60).