We present ZJHKL'M' photometry of a sample of 58 late-M, L, and T dwarfs, most of which are identified from the Sloan Digital Sky Survey and the Two Micron All-Sky Survey. Near-infrared spectra and spectral classifications for most of this sample are presented in a companion paper by Geballe et al. We derive the luminosities of 18 dwarfs in the sample and the results imply that the effective temperature range for the L dwarfs in our sample is approximately 2200-1300 K and for the T dwarfs 1300-800 K. We obtained new photometric data at the United Kingdom Infrared Telescope for: 42 dwarfs at Z, 34 dwarfs at JHK, 21 dwarfs at L', as well as M' data for two L dwarfs and two T dwarfs. The M' data provide the first accurate photometry for L and T dwarfs in this bandpass - for a T2 and a T5 dwarf, we find K-M'=1.2 and 1.6, respectively. These colors are much bluer than predicted by models suggesting that CO may be more abundant in these objects than expected, as has been found for the T6 dwarf Gl 229B. We also find that K-L' increases monotonically through most of the M, L, and T subclasses, but it is almost constant between types L6 and T5. The degeneracy is probably due to the onset of methane absorption at the blue edge of the L' bandpass. The JHK colors of L dwarfs show significant scatter, suggesting that the fluxes in these bandpasses are sensitive to variations in photospheric dust properties. The H-K colors of the later T dwarfs also show some scatter which we suggest is due to variations in pressure-induced molecular hydrogen opacity, which is sensitive to gravity and metallicity.

33 pages incl. 6 figures, accepted by ApJ August 2001