The INTEGRAL/IBIS is surveying a large fraction of the sky above 20 keV with a sensitivity larger than a few mCrab, discovering a number of new extragalactic sources many of which now identified as nearby AGN. We have combined INTEGRAL data with XMM-Newton information to probe the broad-band spectral properties of different AGN classes (radio-loud, type 1/2 Seyfert galaxies, NLSy1, etc.), representative of the population of AGN which are now being observed above 20 keV. Some of them were found to have very peculiar characteristics when compared with the INTEGRAL data, suggesting either extreme spectral and flux variability between the XMM-Newton and INTEGRAL observations, or a prominent reflection component dominating the hard X-ray data. In several cases, it is also possible that complex absorption could explain the differences between the two measurements. In some sources, cut-off energies have been constrained to be below ~150 keV. Preliminary results on a complete sample of INTEGRAL AGN will also be presented.