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We present γ-ray, X-ray, ultraviolet, optical, and near-infrared light curves of 33 γ-ray bright blazars over 4 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 γ-ray behavior. We derive γ-ray, X-ray, and optical spectral indices, αγ, αX, and αo, respectively (Fν∝να), and construct spectral energy distributions during quiescent and active states. We analyze the relationships between different spectral indices, blazar classes, and activity states. We find (1) significantly steeper γ-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; (2) a small difference of αX within each class between states, with BL Lac X-ray spectra significantly steeper than in FSRQs; (3) a highly peaked distribution of X-ray spectral slopes of FSRQs at ∼ –0.60, but a very broad distribution of αX of BL Lacs during active states; (4) flattening of the optical spectra of FSRQs during quiescent states, but no statistically significant change of αo of BL Lacs between states; and (5) a positive correlation between optical and γ-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. [ABSTRACT FROM AUTHOR]