Wow. Learned something new today. So the Romans on at least 3 locations built major defensive lines on borders with nations they failed to conquer completely. We normally do not hear about Roman failures during their glory days. From what I gather, the Romans were never supposed to venture out of their Germanic forts during the night. One legion that did was completely lost.
The Germans were pesky everywhere, but the biggest problem was fortifying the area between the Rhine and Danube, where there was no natural barrier.
There were some others. Here's a Wiki on them: http://en.wikipedia.org/wiki/Limes
Somebody or some group maintains a series in Wiki about the ancient Roman military and I've found it pretty reliable.