The "ultra-long" Gamma Ray Burst GRB 111209A at redshift z=0.677, is so far the longest GRB ever observed, with rest frame prompt emission duration of ~4 hours. In order to explain the bursts exceptional longevity, a low metallicity blue supergiant progenitor has been invoked. In this work, we further investigate this peculiar burst by performing a multi-band temporal and spectral analysis of both the prompt and the afterglow emission. We use proprietary and publicly available data from Swift, Konus Wind, XMM-Newton, TAROT as well as from other ground based optical and radio telescopes. We find some peculiar properties that are possibly connected to the exceptional nature of this burst, namely: i) an unprecedented large optical delay of 410+/-50 s is measured between the peak epochs of a marked flare observed also in gamma-rays after about 2 ks from the first Swift/BAT trigger; ii) if the optical and X-ray/gamma-ray photons during the prompt emission share a common origin, as suggested by their similar temporal behavior, a certain amount of dust in the circumburst environment should be introduced, with rest frame visual dust extinction of AV=0.3-1.5 mag; iii) at the end of the X-ray "steep decay phase" and before the start of the X-ray afterglow, we detect the presence of a hard spectral extra power law component never revealed so far. On the contrary, the optical afterglow since the end of the prompt emission shows more common properties, with a flux power law decay with index alpha=1.6+/-0.1 and a late re-brightening feature at 1.1 day. We discuss our findings in the context of several possible interpretations given so far to the complex multi-band GRB phenomenology. We also attempt to exploit our results to further constrain the progenitor nature properties of this exceptionally long GRB, suggesting a binary channel formation for the proposed blue supergiant progenitor. ; Comment: ApJ accepted. Revised version with substantial adjustments, the main results remain unchanged