An advice column in a newspaper, dealing with various emotional problems, submitted by readers.
Usually a reference to the columnist, who writes replies to reader submitted questions, regarding particular circumstances. Some of the question may be sexual, and if the columnist is a female, then it is referred to as Agony Aunt, if the responding columnist is male, then it is called Agony Uncle.
Mostly a term used within the newspaper industry.
With the popularity of the Internet, several forms of 'agony' columns have appeared.
Some are actually more of a public expose of personal problems, where all who read are encouraged to offer responses to proposed questions.
Other sites conduct a more professional tone, by not publishing the question nor the response, but conduct the matter via email, for a fee. This is done in an effort of protecting the privacy of the person asking the question, and insuring that other's don't mistake the advice given as being applicable to their situation.
Practice (Associated Acts): There are parodies online as well, where sites with large number of subscribers, will offer either a public forum for its members to ask their questions, to relate their problems, and to have either the community respond, or to have a hired person offer an opinion.
There are some sites, that simply make it all up, in an effort to poke fun at those who provide the service, as some consider it inappropriate for anyone to give advice, on subjects, without knowing more details, and in having a proper degree.
Straight Talk with Dolly Parton is such a movie, that pokes fun at the advice column or the Agony Aunt genre.
Noteworthy: Some argue, that giving general advice, can actually be harmful. There are some who claim that other's apply the same solution, when in fact their situation is not the same, however as they are unaware of any other details, they make the wrong assumption.