In expanding, they would most likely have encountered places like Stonehenge, Carnac and Avebury. Is there any written record of what they thought of these places and their theories on what they were?
There's a passage in Book II of Greco-Roman historian Diodorus Siculus's "Bibliotheca historica" that mentions an island to the north, "beyond the land of the Celts", that has "a magnificent sacred precinct of Apollo and a notable temple which is adorned with many votive offerings and is spherical in shape." (translated text here: http://penelope.uchicago.edu/Thayer/E/Roman/Texts/Diodorus_Siculus/2B*.html)
Some historians believe that passage might refer to Stonehenge, but it's debatable.
Generally, Romans seemed to be more interested in ancient Egypt than the northern lands. We know that they were fascinated with ancient Egyptian obelisks and a number of Roman emperors had obelisks brought over from Egypt and erected in Rome, where some still are today. In 10 BC, Augustus brought back a thousand-year old obelisk to Rome and had it erected in the middle of the Circus Maximus.