Although Sgr A* is known to be variable in radio, millimeter, near-IR and X-rays, the correlation of the variability across its spectrum has not been fully studied. Here we describe highlights of the results of two observing campaigns in 2004 to investigate the correlation of flare activity in different wavelength regimes, using a total of nine ground and space-based telescopes. We report the detection of several new near-IR flares during the campaign based on HST observations. The level of near-IR flare activity can be as low as 0.15 mJy at 1.6 micron and continuous up to 40% of the total observing time, thus placing better limits than ground-based near-IR observations. Using the NICMOS instrument on the HST, the XMM-Newton and Caltech Submillimeter observatories, we also detect simultaneous bright X-ray and near-IR flare in which we observe for the first time correlated substructures as well as simultaneous submillimeter and near-IR flaring. X-ray emission is arising from the population of near-IR-synchrotron-emitting relativistic particles which scatter submillimeter seed photons within the inner 10 Schwarzschild radii (R_sch) of Sgr A* up to X-ray energies. In addition, using the inverse Compton scattering picture, we explain the high energy 20-120 keV emission from the direction toward Sgr A*, and the lack of one-to-one X-ray counterparts to near-IR flares, by the variation of the magnetic field and the spectral index distributions of this population of nonthermal particles. In this picture, the evidence for the variability of submillimeter emission during a near-IR flare is produced by the low-energy component of the population of particles emitting synchrotron near-IR emission. Based on the measurements of the duration of flares in near-IR and submillimeter wavelengths, we argue that the cooling could be due to adiabatic expansion with the implication that flare activity may drive an outflow.