Skip it. While candidates have every reason to listen to your feedback, that doesn't necessarily mean they will take it in a productive manner. You're not in a mentoring role here, you're in a deciding role. If you like mentoring people in the job hunt, be an advisor or mentor (or spend time answering questions on The Workplace... it's addictive! :) )
Mixing the decision making role with the mentoring can cause a number of the issues mentioned in other answers:
Candidates getting the mistaken impression that if they do what you say, they are guaranteed a job in your company
Candidates latching on and seeing you as their new mentor
Candidates being offended by unsolicited advice -- your opinion may be perfect for the role you have to offer, but not perfect for other venues in the industry.
But what do we tell the candidate?
HR will take a stance on this. Do give your feedback to HR. Many good HR people will factor this in. They may give it as a response to the candidate, they may use it to tune their search criteria - either way you win and you work within the confines of the company.
Getting what you want
There's no shame, however, in pushing in the interview to get what you want -- information about the qualifications of the candidate! Several cases of likely advice can be reworded as pointed interview questions that fit the format:
You've mentioned X skill on your resume and I'm looking for some cases where you've used that skill. Can you give me some examples? -- I've even seen this go as far as -- "I have tried asking in several ways, but we aren't getting anywhere - please show me that you know X skill - I need... cases... examples... you to be able to actually answer this question..."
Your resume was quite long and detailed - can you sum it up for me quickly? And feel free to cut 'em off if you get to a 10 minute saga. It may be abrupt but it gets the point across that a job interview and resume needs to be concise.
I realize that some people won't be able to catch a clue from subtle responses, but I think it's fair to think that if the interviewer has come out point blank and demanded something, that the need to be able to demonstrate that to get this job is a requirement.
What if they ask?
I've been asked, point blank - "what do you think?" and "what could I work on for the future?". At that point, I'm willing to give no more than 3 peices of advice, and I try to stay extremely terse (not my forte!).
And, stay away from anything that comes close to "if you had only done X, you would have this job quite easily". Stick with "I was looking for X, and you didn't convince me you could meet it".
This is a touchy area, and your company may have other opinions here... that said, I see it as a grey zone, where if you've felt you had a repore, and the advice will be truly taken constructively, then go for it.
Admittedly, I'm far more comfortable here where I can be general "I was looking for a ... and your resume points towards more of a ... ". The ones that are (in all honestly) "I can't imagine why you thought your skill set matched my needs." are the ones where I am extra cautious in giving advice.