  We present a sample of 386 BL Lacertae (BL Lac) candidates identified from
2860 deg^2 of the Sloan Digital Sky Survey (SDSS) spectroscopic database. The
candidates are primarily selected to have quasi-featureless optical spectra and
low proper motions as measured from SDSS and USNO-B positions; however, our
ability to separate Galactic from extragalactic quasi-featureless objects
(QFOs) on the basis of proper motion alone is limited by the lack of reliable
proper motion measurements for faint objects. Fortunately, high proper motion
QFOs, mostly DC white dwarfs, populate a well defined region of color space,
approximately corresponding to blackbodies with temperatures in the range
7000-12000 K. QFOs with measurable redshifts or X-ray or radio counterparts
(i.e., evidence of an extragalactic/AGN nature) loosely follow a track in color
space that corresponds to power-law continua plus host galaxy starlight, with
typical power-law slopes in the range 1<alpha_{opt}<2 (f_{nu} propto
nu^{-alpha}). Based largely on this remarkably clean color separation, we
subdivide the sample into 240 probable candidates and 146 additional less
probable (likely stellar) candidates. The probable BL Lac candidates have
multi-wavelength properties consistent with the range of previously known BL
Lacs, with an apparent preponderance of objects with synchrotron peaks at
relatively high energies (HBL/ XBL-type). The majority of the 154 objects with
measurable redshifts have z<1, with a median of 0.45; there are also a handful
of high-redshift objects extending up to z=5.03. We identify a small number of
potential radio-quiet BL Lac candidates, although more sensitive radio
observations are needed to confirm their radio-quiet nature.
