A multiwavelength campaign to observe the BL Lac object AO 0235+16 (z = 0.94) was set up by the Whole Earth Blazar Telescope (WEBT) collaboration during the observing seasons 2003-2004 and 2004-2005, involving radio, near-IR and optical photometric monitoring, VLBA monitoring, optical spectral monitoring, and three pointings by the XMM-Newton satellite. Here we report on the results of the first season, which involved the participation of 24 optical and near-IR telescopes and 4 radio telescopes, as well as the first XMM-Newton pointing, which occurred on January 18-19, 2004. Unpublished data from previous epochs were also collected (from 5 optical-NIR and 3 radio telescopes), in order to fill the gap between the end of the period presented in Raiteri et al. (2001) and the start of the WEBT campaign. The contribution of the southern AGN, 2 arcsec distant from the source, is taken into account. It is found to especially affect the blue part of the optical spectrum when the source is faint. In the optical and near-IR the source has been very active in the last 3 years, although it has been rather faint most of the time, with noticeable variations of more than a magnitude over a few days. In contrast, in the radio bands it appears to have been "quiescent" since early 2000. The major radio (and optical) outburst predicted to peak around February-March 2004 (with a six month uncertainty) has not occurred yet. When comparing our results with the historical light.