Context. Being dominated by non-thermal emission from aligned relativistic jets, blazars allow us to elucidate the physics of extragalactic jets, and, ultimately, how the energy is extracted from the central black hole in radio-loud active galactic nuclei. Aims. Crucial information is provided by broad-band spectral energy distributions (SEDs), their trends with luminosity and correlated multi-frequency variability. With this study we plan to obtain a database of contemporaneous radio-to-optical spectra of a sample of blazars, which are and will be observed by current and future high-energy satellites. Methods. Since December 2004 we are performing a monthly multi-frequency radio monitoring of a sample of 35 blazars at the antennas in Medicina and Noto. Contemporaneous near-IR and optical observations for all our observing epochs are organised. Results. Until June 2006 about 4000 radio measurements and 5500 near-IR and optical measurements were obtained. Most of the sources show significant variability in all observing bands. Here we present the multi-frequency data acquired during the first eighteen months of the project, and construct the SEDs for the best-sampled sources.