In response to the growing interest in building a Neutrino Factory to produce high intensity beams of electron- and muon-neutrinos and antineutrinos, in October 1999 the Fermilab Directorate initiated two six-month studies. The first study, organized by N. Holtkamp and D. Finley, was to investigate the technical feasibility of an intense neutrino source based on a muon storage ring. This design study has produced a report in which the basic conclusion is that a Neutrino Factory is technically feasible, although it requires an aggressive R&D program. The second study, which is the subject of this report, was to explore the physics potential of a Neutrino Factory as a function of the muon beam energy and intensity, and for oscillation physics, the potential as a function of baseline.