Continuous Integration (CI) has been claimed to introduce several benefits in software development, including high software quality and reliability. However, recent work pointed out challenges, barriers and bad practices characterizing its adoption. This paper empirically investigates what are the bad practices experienced by developers applying CI. The investigation has been conducted by leveraging semi-structured interviews of 13 experts and mining more than 2,300 Stack Overflow posts. As a result, we compiled a catalog of 79 CI bad smells belonging to 7 categories related to different dimensions of a CI pipeline management and process. We have also investigated the perceived importance of the identified bad smells through a survey involving 26 professional developers and discussed how the results of our study relate to existing knowledge about CI bad practices. Whilst some results, such as the poor usage of branches, confirm existing literature, the study also highlights uncovered bad practices, e.g., related to static analysis tools or the abuse of shell scripts, and contradict knowledge from existing literature, e.g., about avoiding nightly builds. We discuss the implications of our catalog of CI bad smells for (i) practitioners, e.g., favor specific, portable tools over hacking, and do not ignore nor hide build failures, (ii) educators, e.g., teach CI culture, not just technology, and teach CI by providing examples of what not to do, and (iii) researchers, e.g., developing support for failure analysis, as well as automated CI bad smell detectors.