The rich X‐ray light curves of blazars obtained with RXTE allow meaningful correlation analyses with longer wavelengths. This reveals strong connections of variations across the electromagnetic spectrum. In 3C 279, PKS 1510‐089, and BL Lac, the characteristics of the X‐ray variability change along with the projected direction of the compact jet. Outbursts in the radio, IR, or optical often precede flares at high energies. A period of pronounced variability in BL Lac in late 2000 occurs at both optical and X‐ray frequencies, with the X‐ray spectral index steepening. A superluminal radio knot is ejected during this event. The implication of our monitoring results is that the IR to X‐ray (as well as &ggr;‐ray) emission is cospatial with the compact radio jet, most likely occurring in the superluminal knots. In the radio galaxy 3C 120, in which the X‐rays probably come mainly from a hot accretion‐disk corona, the appearance of superluminal radio knots follows (by 4 weeks) dips in the X‐ray emission, as in microquasars but on longer timescales. The delay implies that the core of the radio jet, as seen in mm‐wave VLBA images, lies at least 0.4 pc from the central engine, consistent with models in which the jet flow accelerates far from the black hole. The quasar 3C 273 may be an interesting hybrid case in which contributions to the X‐ray emission may come from both the jet and corona. The power spectral density has a low‐frequency break that, in analogy with black‐hole binary systems, implies a mass of the central black hole of 3 – 6 × 108M⊙, similar to that obtained by reverberation mapping of emission‐line variability. © 2004 American Institute of Physics