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We present $\gamma$-ray, X-ray, ultraviolet, optical, and near-infrared lightcurves of 33 $\gamma$-ray bright blazars over four years that we have beenmonitoring since 2008 August with multiple optical, ground-based telescopes andthe Swift satellite, and augmented by data from the Fermi Gamma-ray SpaceTelescope and other publicly available data from Swift. The sample consists of21 flat-spectrum radio quasars (FSRQs) and 12 BL Lac objects (BL Lacs). Weidentify quiescent and active states of the sources based on their $\gamma$-raybehavior. We derive $\gamma$-ray, X-ray, and optical spectral indices,$\alpha_\gamma$, $\alpha_X$, and $\alpha_o$, respectively($F_\nu\propto\nu^\alpha$), and construct spectral energy distributions (SEDs)during quiescent and active states. We analyze the relationships betweendifferent spectral indices, blazar classes, and activity states. We find (i)significantly steeper $\gamma$-ray spectra of FSRQs than for BL Lacs duringquiescent states, but a flattening of the spectra for FSRQs during activestates while the BL Lacs show no significant change; (ii) a small difference of$\alpha_X$ within each class between states, with BL Lac X-ray spectrasignificantly steeper than in FSRQs; (iii) a highly peaked distribution ofX-ray spectral slopes of FSRQs at $\sim-$0.60, but a very broad distribution of$\alpha_X$ of BL Lacs during active states; (iv) flattening of the opticalspectra of FSRQs during quiescent states, but no statistically significantchange of $\alpha_o$ of BL Lacs between states; and (v) a positive correlationbetween optical and $\gamma$-ray spectral slopes of BL Lacs, with similarvalues of the slopes. We discuss the findings with respect to the relativeprominence of different components of high-energy and optical emission as theflux state changes.

Comprehensive Monitoring of Gamma-ray Bright Blazars. I. Statistical Study of Optical, X-ray, and Gamma-ray Spectral Slopes