While it's not great etiquette-wise, it happens a lot during recruiting season.
If there is another offer you like better, you ultimately need to pick you first. Unfortunately, it "reflects badly" no matter what you do. Just accept that that company will not be very happy and you've burned that bridge. If there's another bridge that you like better, it's the price you have to pay.
Be very careful if you are recruiting through your school (undergrad, MBA, PhD, etc.). If you are, thentalk to the career counselors/career office about the best way to go about this.