AMON is a multidisciplinary effort which aims to exploit the potential synergies inherent in studying cosmic sources via the electromagnetic, gravitational wave, high-energy neutrino and cosmic ray channels. AMON is centered at the Penn State Institute for Gravitation and the Cosmos and involves researchers and facilities at a number of other institutions. Among cosmic sources being investigated are active galactic nuclei, gamma-ray bursts, supernovae, white dwarves and neutron stars. We are building a Coincident Subthreshold Multi-Messenger Burst Alert System, which will be the first real-time, joint analysis effort incorporating data from gamma-ray and TeV gamma-ray, gravitational wave and high-energy neutrino facilities. For further details, see http://sites.psu.edu/amon.