Campaign Member is one of those weird objects, like Contracts and Assets that have restrictions - and they will often surprise you with the little gotchas.
Things you can't do:
- Have related lists on the page layout (you can relate Campaign Members to custom objects, but then you can't show the related list on Campaign Members).
- Set up field history tracking - Big issue! https://success.salesforce.com/ideaView?id=08730000000BqXRAA0
- Like Opportunity Line Items, Assets, or Contact Roles; Campaign Members can't have Record Types.