We report our discovery and early time optical, near-infrared, and radio wavelength follow-up observations of the afterglow of the gamma-ray burst GRB 021211. Our optical observations, beginning 21 min after the burst trigger, demonstrate that the early afterglow of this burst is roughly three magnitudes fainter than the afterglow of GRB 990123 at similar epochs, and fainter than almost all known afterglows at an epoch of 1d after the GRB. Our near-infrared and optical observations indicate that this is not due to extinction. Combining our observations with data reported by other groups, we identify the signature of a reverse shock. This reverse shock is not detected to a 3-sigma limit of 110 uJy in an 8.46-GHz VLA observation at t=0.10d, implying either that the Lorentz factor of the burst gamma <~ 200, or that synchrotron self-absorption effects dominate the radio emission at this time. Our early optical observations, near the peak of the optical afterglow (forward shock), allow us to characterize the afterglow in detail. Comparing our model to flux upper limits from the VLA at later times, t >~ 1 week, we find that the late-time radio flux is suppressed by a factor of two relative to the >~ 80 uJy peak flux at optical wavelengths. This suppression is not likely to be due to synchrotron self-absorption or an early jet break, and we suggest instead that the burst may have suffered substantial radiative corrections.