Humans use language to accomplish a wide variety of tasks - asking for and giving advice being one of them. In online advice forums, advice is mixed in with non-advice, like emotional support, and is sometimes stated explicitly, sometimes implicitly. Understanding the language of advice would equip systems with a better grasp of language pragmatics; practically, the ability to identify advice would drastically increase the efficiency of advice-seeking online, as well as advice-giving in natural language generation systems. We present a dataset in English from two Reddit advice forums - r/AskParents and r/needadvice - annotated for whether sentences in posts contain advice or not. Our analysis reveals rich linguistic phenomena in advice discourse. We present preliminary models showing that while pre-trained language models are able to capture advice better than rule-based systems, advice identification is challenging, and we identify directions for future research.