  We present $\gamma$-ray, X-ray, ultraviolet, optical, and near-infrared light
curves of 33 $\gamma$-ray bright blazars over four years that we have been
monitoring since 2008 August with multiple optical, ground-based telescopes and
the Swift satellite, and augmented by data from the Fermi Gamma-ray Space
Telescope and other publicly available data from Swift. The sample consists of
21 flat-spectrum radio quasars (FSRQs) and 12 BL Lac objects (BL Lacs). We
identify quiescent and active states of the sources based on their $\gamma$-ray
behavior. 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 between
different spectral indices, blazar classes, and activity states. We find (i)
significantly steeper $\gamma$-ray spectra of FSRQs than for BL Lacs during
quiescent states, but a flattening of the spectra for FSRQs during active
states 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 spectra
significantly steeper than in FSRQs; (iii) a highly peaked distribution of
X-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 optical
spectra of FSRQs during quiescent states, but no statistically significant
change of $\alpha_o$ of BL Lacs between states; and (v) a positive correlation
between optical and $\gamma$-ray spectral slopes of BL Lacs, with similar
values of the slopes. We discuss the findings with respect to the relative
prominence of different components of high-energy and optical emission as the
flux state changes.
