AP Photo

On July 25, Najibullah Zazi, a lanky man in his mid-twenties, walked into the Beauty Supply Warehouse in Aurora, Colorado, a suburb of Denver. The visit was captured on a store video camera. Wearing a baseball cap and pushing a shopping cart, Zazi appeared to be just another suburban guy.

Of course, not many suburban guys buy six bottles of Clairoxide hair bleach, as Zazi did on this shopping trip-or return a month later to buy a dozen bottles of "Ms. K Liquid," a peroxide-based product. Aware that these were hardly the typical purchases of a heavily bearded, dark-haired young man, Zazi-who was born in Afghanistan and spent part of his childhood in Pakistan before moving to the United States at the age of 14-kibitzed easily with the counter staff, joking that he had to buy such...