Bad, evil, ill, wicked, naughty are comparable when they mean not meeting with the approval of the ethical consciousness.
Bad is a very general term and applies to anyone or anything reprehensible, for whatever reason and to whatever degre.
Evil is a stronger term than bad and usually suggests the sinister or baleful as well as the reprehensible (evil deeds).
Ill is close to evil in basic meaning and may suggest an active malevolence or vicious intent.
Wicked implies the actual often conscious or deliberate contravention or violation of moral law. It is sometimes used with weakened, even playful, force.
Naughty was once serious, but is now trivial in its application. Mostly it implies mischievousness on the part of a child too young to have a lively sense of right and wrong. Sometimes it expresses charitable censure of a person of responsible age who has done wrong. Often it is applied to what is impolite, impudent, or amusingly risqué.