This thesis describes a study of a cavity QED microlaser in which many atoms are present simultaneously and atom-cavity interaction is well-defined. The microlaser is found to display multiple thresholds analogous to first-order phase transitions of the cavity field. Hysteresis is observed as a function of atom-cavity detuning and number of atoms. Data is compared with a rate equation model and fully quantized treatment based on micromaser theory. Good agreement between theory and experiment is found when the cavity is resonant with atoms of the most probable velocity, but long lifetimes of metastable states preclude the observation of true steady-state transition points. For nonzero atom-cavity detuning the microlaser displays broadenings and shifts which are not yet well-understood. Quantum trajectory simulations are performed to investigate many-atom and finite transit time effects in the microlaser. We show that over a wide range of parameters the many-atom microlaser scales with the single-atom theory, with a perturbation in the photon statistics due to cavity decay during the atom transit time.