We present the results of multiobject spectroscopy of 40 stars in M 81, which is aimed at searching for SS 433 and LBV candidates. The parameters of the Ha line and the relative intensities of the [Nn] lambda 6583 and [SII] lambda 6716 lines are given. We identified 15 candidates for LBV stars or supergiants. Based on their luminosities, colors, and shape of the Ha-emission-line profile, two of these objects (ZH 820 and S 55) can be considered as SS 433 candidates. All of the identified candidates should be studied in more detail by slit spectroscopy. We identified nine candidates for supernova remnants (some of them are also supergiant and LBV candidates), ten HII regions, two star clusters, and about seven (Galactic) field stars. In M 81, we identified four Xray sources: X-2 and X-3 are sources in star clusters, X-6 is a supernova remnant, and X-8 is a field Me dwarf. The supernova remnant X-6 shows an anomalously high X-ray luminosity; it may harbor a close binary system of type Cyg X-l or SS 433. We conclude that M 81 is similar in luminosity of the brightest blue stars to M 31.