Recent years have witnessed a processor development trend that integrates central processing unit (CPU) and graphic processing unit (GPU) into a single chip. The integration helps to save some host-device data copying that a discrete GPU usually requires, but also introduces deep resource sharing and possible interference between CPU and GPU. This work investigates the performance implications of independently co-running CPU and GPU programs on these platforms. First, we perform a comprehensive measurement that covers a wide variety of factors, including processor architectures, operating systems, benchmarks, timing mechanisms, inputs, and power management schemes. These measurements reveal a number of surprising observations.We analyze these observations and produce a list of novel insights, including the important roles of operating system (OS) context switching and power management in determining the program performance, and the subtle effect of CPU-GPU data copying. Finally, we confirm those insights through case studies, and point out some promising directions to mitigate anomalous performance degradation on integrated heterogeneous processors.