We report on a large, multi-wavelength campaign to observe variability across the electromagnetic spectrum in the M dwarf flare star EV Lacertae, in 2001 September. The campaign involved X-ray (Chandra ACIS-S+HETG), UV (HST/STIS), and optical (McDonald) spectra, as well as optical photometry and multi-frequency radio (VLA) observations. EV Lac demonstrated both frequent and extreme variability during the course of the two day intensive recordings. Dispersed X-ray spectra confirm the metal underabundance seen in other active stars. The increase in continuum fluxes at short X-ray wavelengths during flare intervals compared to quiescent intervals signals the creation of high temperature plasma, a signature of the flare process. Multi-wavelength comparisons reveal interesting trends: X-ray flare frequencies are within the range predicted by optical observations, yet there is no correspondence between X-ray flares and optical flares in our data. Two UV flares occur during the rise stages of X-ray flares; a major radio flare is accompanied by a large optical flare, which has no apparent counterpart in the X-ray. The results give conflicting evidence for the applicability of the Neupert effect interpretation in stellar coronae.