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We present 20 years of optical, infrared, and radio monitoring data for BL Lac as well as four simultaneous multifrequency spectra covering the 10 9-10 18 Hz range. Although there is no time delay between the optical and infrared variability, the high-frequency radio variations precede lower frequency variations, but only by weeks. The optical variability precedes the radio variability by a few years. The structure function for the radio variations is nearly that of shot noise for time scales less than 600 days, in contrast to the optical variation, which is similar to flicker noise. These results indicate that, although there are fundamental differences between the optical and radio emitting regions, they are related, possibly by the propagation of shocks between regions. The multifrequency spectra show that the power per logarithmic bandwidth has a well-defined peak in the near-infrared and a sharp cutoff in the optical-ultraviolet region. This cutoff is like those seen in a few other blazars and is attributed to synchrotron losses that prevent particle acceleration from exceeding a critical energy. The X-ray continuum is not smoothly connected to the optical-ultraviolet emission and has a flatter slope, similar to that of the infrared-millimeter region. In addition, the X-ray emission varied in the same sense as the infrared-millimeter emission but opposite that of the optical-ultraviolet emission. These X-ray properties are those expected from the synchrotron-self-Compton process. The best model suggests that the plasma radiating at ~ 10 1 1. 5 Hz has a size of ~ 10-2 • 5 pc, a Doppler parameter off>= 2-3, and a magnetic field of B = 2-40 G.