You can set keyframes with Linear interpolation or change a keyframe’s interpolation after the keyframe is already set.
To set keyframes with Linear interpolation:
Key Controls A. Linear type selected in the interpolation Type menu
To change the interpolation of a keyframe to Linear:
FCurves window (detail) in Classic Mode A. Linear interpolation type selected for the keyframe selection
FCurves window (detail) in Updated Mode A. Linear interpolation type selected for the keyframe selection
See Editing Linear interpolation for how to edit your interpolations.