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This is the first part of lyrics of this song named 'immortals':

They say we are what we are,
But we don't have to be,
I'm bad behavior but I do it in the best way,
I'll be the watcher (watcher) of the eternal flame,
I'll be the guard dog of all your fever dreams,

Full lyrics: http://www.azlyrics.com/lyrics/falloutboy/immortals.html  

I don't understand what 'I'm bad behavior' means.

Is this expression common at all? 
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It probably means 'I exemplify bad behaviour'.

Song writers ( and poets) often allow themselves to play with language.

I've never hear anyone say 'I'm bad behaviour'. But I've heard 'He's bad news' ( meaning he causes a lot of trouble).

Clive
Comments  

I would interpret it as 'bad influence'.