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The quest for binary and dual supermassive black holes (SMBHs) at the dawn of the multi-messenger era is compelling. Detecting dual active galactic nuclei (AGN) -- active SMBHs at projected separations larger than several parsecs -- and binary AGN -- probing the scale where SMBHs are bound in a Keplerian binary -- is an observational challenge. The study of AGN pairs (either dual or binary) also represents an overarching theoretical problem in cosmology and astrophysics. The AGN triggering calls for detailed knowledge of the hydrodynamical conditions of gas in the imminent surroundings of the SMBHs and, at the same time, their duality calls for detailed knowledge on how galaxies assemble through major and minor mergers and grow fed by matter along the filaments of the cosmic web. This review describes the techniques used across the electromagnetic spectrum to detect dual and binary AGN candidates and proposes new avenues for their search. The current observational status is compared with the state-of-the-art numerical simulations and models for formation of dual and binary AGN. Binary SMBHs are among the loudest sources of gravitational waves (GWs) in the Universe. The search for a background of GWs at nHz frequencies from inspiralling SMBHs at low redshifts, and the direct detection of signals from their coalescence by the Laser Interferometer Space Antenna in the next decade, make this a theme of major interest for multi-messenger astrophysics. This review discusses the future facilities and observational strategies that are likely to significantly advance this fascinating field.