I'd recommend the Eagle of the Ninth by Rosemary Sutcliff - it's a book about a Roman centurion from the time of Hadrian going up to Scotland to retrieve a lost Roman Eagle. Although it's written for children (I first read it when I was 9) It's a very informed and sensitive look at Celtic life at the time the Wall was built, as well as a colourful portrayal for life as a legionary veteran. But for gods' sake STEER CLEAR OF THE MOVIE ADAPTATION.