What are the advantages of Continuous Integration and its use in Agile software development methodologies?

When continuous integration(CI) works well, it helps the code stay robust enough that customers and other stakeholders can play with the code whenever they like. This speeds the flow of development work overall; as Fowler points out, it has a very different feel to it. It also encourages more feedback between programmers and customers, which helps the team get things right before iteration deadlines. Like refactoring, continuous integration works well if you have an exhaustive suite of automated unit tests that ensure that you are not committing buggy code.Skillful CI means that integration is never a headache, because your work reflects only slight divergence from the code base.

I think the major reason people don't use ci is that its too hard to set up.