Here's an exercise in universal coefficients
I'm grateful to Allen Hatcher, who pointed out that this answer was incorrect. My apologies to readers and the classification of f.gupvoters. abelian groups:I thought it more helpful to correct it than delete outright, but read critically.
If $X$ and $Y$ are cell complexes, finite in each degree, and two maps $f_0$ and $f_1\colon X\to Y$ induce the same map on cohomology with coefficients in $\mathbb{Q}$ and in $\mathbb{F}_p$ \mathbb{Z}/(p^l)$ for all primes $p$, p$ and natural numbers $l$, then they induce the same map on cohomology with $\mathbb{Z}$ coefficients. MoreoverTo see this, we may restrict attention to those primes $p$ such that $H^{\ast}(Y;\mathbb{Z})$ has write $p$-torsion.
Applying this to H^n(Y;\mathbb{Z})$ as a direct sum of $Y=BG$, for \mathbb{Z}^{r}$ and various primary summands $G$ a compact Lie group, you can see \mathbb{Z}/(p^k)$, and note that there's no more information in the integral characteristic classes of vector bundles with structure group summand $G$ than there is in \mathbb{Z}/(p^k)$ restricts injectively to the rational and mod $p$ characteristic classes for p^l$ cohomology when $l\geq k$. One can take only those $p$ p^l$ such that there is $H^{\ast}(BG)$ has p^l$-torsion in $p$-torsion. This H^\ast(Y;\mathbb{Z})$. (I previously claimed that one could take $l=1$, which on reflection is advantageous because, as Jason DeVito has remarkedpretty implausible, the structure of $H^*(BG;k)$ and is simpler when indeed wrong.)
We can try to apply this to $k$ is a field than when Y=BG$, for $k=\mathbb{Z}$.
WellG$ a compact Lie group. For example, $H^{\ast}(BU(n))$ is torsion-free (and Chern classes generate the integer cohomology), and so rational characteristic classes suffice. In $H^{\ast}(BO(n))$ and $H^{\ast}(BSO(n))$ there's only 2-torsion, and Pontryagin2-primary torsion. That leaves the possibility that the mod 4 cohomology contains sharper information than the mod 2 cohomology. It does not, S-W andbecause, as Allen Hatcher has pointed out in the latter casethis recent answer,Euler classes are all you needthe torsion is actually 2-torsion.In general, there will be a finite list of special primes for each $G$.
It's sometimes worthwhile to consider the integral Stiefel Whitney Stiefel-Whitney classes $W_{i+1}=\beta_2(w_i)\in H^{i+1}(X;\mathbb{Z})$, the Bockstein images of the usual ones. These classes are 2-torsion, and measure the obstruction to lifting $w_i$ to an integer class. For instance, an oriented vector bundle has a $\mathrm{Spin}^c$-structure iff $W_3=0$.

