Long non-coding RNAs (lncRNAs) have emerged in recent years as major players in a multitude of pathways across species, but it remains challenging to understand which of them are important and how their functions are performed. Comparative sequence analysis has been instrumental for studying proteins and small RNAs, but the rapid evolution of lncRNAs poses new challenges that demand new approaches. Here, I review the lessons learned so far from genome-wide mapping and comparisons of lncRNAs across different species. I also discuss how comparative analyses can help us to understand lncRNA function and provide practical considerations for examining functional conservation of lncRNA genes.