Search for New Physics in Lepton + Photon + X Events We present a search for the anomalous production of events with a high transverse energy ($E_T$) photon and a high $E_T$ electron or muon using data taken with the CDF detector in Run II at the Tevatron. The search includes measurements of the production of events with additional leptons, photons, missing transverse energy, or total transverse energy. These signatures are possible in models based on gauge-mediated Supersymmetry, Extra Large Dimensions, and other extensions of the Standard Model.