Halos are biased tracers of the dark matter distribution. It is often assumed that the initial patches from which halos formed are locally biased with respect to the initial fluctuation field, meaning that the halo-patch fluctuation field can be written as a Taylor series in the dark matter density fluctuation field. If quantities other than the local density influence halo formation, then this Lagrangian bias will generically be nonlocal; the Taylor series must be performed with respect to these other variables as well. We illustrate the effect with Monte Carlo simulations of a model in which halo formation depends on the local shear (the quadrupole of perturbation theory) and provide an analytic model that provides a good description of our results. Our model, which extends the excursion set approach to walks in more than one dimension, works both when steps in the walk are uncorrelated, as well as when there are correlations between steps. For walks with correlated steps, our model includes two distinct types of nonlocality: one is due to the fact that the initial density profile around a patch which is destined to form a halo must fall sufficiently steeply around it—this introduces kdependence to even the linear bias factor, but otherwise only affects the monopole of the clustering signal. The other type of nonlocality is due to the surrounding shear field; this affects the quadratic and higher-order bias factors and introduces an angular dependence to the clustering signal. In both cases, our analysis shows that these nonlocal Lagrangian bias terms can be significant, particularly for massive halos; they must be accounted for in, e.g., analyses of higher-order clustering in Lagrangian or Eulerian space. Comparison of our predictions with measurements of the halo bispectrum in simulations is encouraging. Although we illustrate these effects using halos, our analysis and conclusions also apply to the other constituents of the cosmic web—filaments, sheets and voids.