There actually were a number of forays that went deeper into African territory. These, however, were punitive expeditions in the main, such as the campaign against the warlord Tacfarinas. Indeed, one of the last campaigns where a non-Imperial citizen achieved a Triumph for a successful campaign was by the proconsul Lucius Cornelius Balbus, and he ventured deep into the desert to conquer Garamantian territory (sadly their appearance in Rome II Total War means I can't find an accurate map on GIS, but they were situated deep within Libya, far beyond Rome's influence). He struck a decisive blow against the Garamantes and made rather a lot of money, enough to fund a new theatre in Rome, much to the young Emperor Augustus' chagrin (he later turned the theatre into a dole-house). But the Romans saw no point in conquering any further south - there were no raw materials to exploit (a big difference from Northern Europe, which was full of fertile land and different metals inc. gold), no rich urban centres (while they did have a few cities, the North African Berbers were largely nomadic), and the natives would stymie any attempts to settle with their skill in guerilla warfare. As a result, Africa became one of very few senatorial provinces (provinces whose governor was appointed by the senate, not the Emperor) to have its own legions, but these were used to defend against, and punish, African insurgents, rather than expanding Roman territory any deeper into the Sahara.

Nero sent an expedition to discover the source of the Nile. According to this source it was the furthest the Romans ever went into Africa. I originally read about it in Explorers of the Nile: The Triumph and Tragedy of a Great Victorian Adventure. A good book if you are interested in the quest for the source of the Nile or just explorers in general.

http://www.amazon.com/gp/aw/d/0300187394/ref=redir_mdp_mobile

You have to remember, North Africa is a desert. The Romans (more or less) controlled the coast of North Africa, and therefore all the ports and the mouth of the Nile, but it's easy to move 10,000 solders along roads then it is to move them by ship. So why go south through a desert, only to face a multitude of unknowns, then go north and into fertile land with a populous full of taxable people?