Active Galactic Nuclei (AGN) are energetic astrophysical sources powered by accretion onto supermassive black holes in galaxies, and present unique observational signatures that cover the full electromagnetic spectrum over more than twenty orders of magnitude in frequency. The rich phenomenology of AGN has resulted in a large number of different "flavours" in the literature that now comprise a complex and confusing AGN "zoo". It is increasingly clear that these classifications are only partially related to intrinsic differences between AGN, and primarily reflect variations in a relatively small number of astrophysical parameters as well the method by which each class of AGN is selected. Taken together, observations in different electromagnetic bands as well as variations over time provide complementary windows on the physics of different sub-structures in the AGN. In this review, we present an overview of AGN multi-wavelength properties with the aim of painting their "big picture" through observations in each electromagnetic band from radio to gamma-rays as well as AGN variability. We address what we can learn from each observational method, the impact of selection effects, the physics behind the emission at each wavelength, and the potential for future studies. To conclude we use these observations to piece together the basic architecture of AGN, discuss our current understanding of unification models, and highlight some open questions that present opportunities for future observational and theoretical progress.

Accepted for publication in Astronomy & Astrophysics Review, 56 pages, 25 figures