Even with the renaissance in gamma-ray burst (GRB) research fostered by the Swift satellite, few bursts have both contemporaneous observations at long wavelengths and exquisite observations at later times across the electromagnetic spectrum. We present here contemporaneous imaging with the KAIT robotic optical telescope, dense optical sampling with Lulin, supplemented with infrared data from PAIRITEL and radio to gamma-ray data from the literature. For the first time, we can test the constancy of microphysical parameters in the internal-external shock paradigm and carefully trace the flow of energy from the GRB to the surrounding medium. KAIT data taken <åisebox-0.5ex 1 minute after the start of GRB 051111 and coinciding with the fading gamma-ray tail of the prompt emission indicate a smooth reinjection of energy into the shock. No color change is apparent in observations beginning i̊sebox-0.5ex 1.5 minutes after the GRB and lasting for the first hour after the burst. There are achromatic flux modulations about the best-fit model at late (trs̊ebox-0.5ex 10$^4$ s) times, possibly due to variations in the external density. We find that the host galaxy extinction is well fit by a curve similar to that of the Small Magellanic Cloud. Low visual extinction, A$_V$rae̊box-0.5ex 0.2 mag, combined with high column densities determined from the X-ray and optical spectroscopy (N$_H$>10$^21$ cm$^-2$), indicate a low dust-to-metals ratio and a possible overabundance of the light metals. An apparent small ratio of total to selective extinction (R$_V$raib̊ox-0.5ex 2) argues against dust destruction by the GRB. Time constancy of both the IR/optical/UV spectral energy distribution and the soft X-ray absorption suggests that the absorbing material is not local to the GRB.