It seems like, especially following Trajan when Rome was at the height of its land control, there would have been a vast amount of enemies created in the wake of Roman domination. Was a coalition ever created among mutual enemies from different countries against Rome? How successful were they? If one was never created, why not? Was Rome simply too powerful?
The Battle of the Teutoburg Forest came about because Arminius united the various Germanic tribes that would normally have been fighting each other into one army.
In this instance they wiped out 3 Roman legions and probably caused the Romans to treat the Rhine as the limit of their empire from that point onwards.
The reality is by the time of Trajan the only ones that were a problem for Rome were the Arsacid Empire (decentralized nature and couldn't really muster anything) and the Germanic tribes (I don't think they need explaining) and either two couldn't actually threaten Roman power at the Empire's height (winning a rare tactical victory is different). Also Romans by the time of Trajan didn't really bother with the two as there was little need or desire to do so and very little return on investment of new conquests (though some can argue that the Roman's slave based economy required constant income of slaves and new lands to power its economy but that's another topic).
The Romans could only really be threatened during the 3rd century crisis and onwards with the Rome's internal crises and Sassanian Empire and the Germanic tribes becoming much more sophisticated and threatening to Rome.
Do you ask specifically about the Empire or the whole Roman history? During the late Empire many germanic tribes worked together for some time, but those alliances often were very dynamic
For Republican time: For Example the Social War is basically this. Various opressed peoples of the Italian Peninsula coalitioned together to overthrow (or at least get equal rights) Rome.
http://en.wikipedia.org/wiki/Social_War_%2890%E2%80%9388_BC%29
Also Hanniball allied with Gallic Tribes during the second Punic War. http://en.wikipedia.org/wiki/Second_Punic_War#Gallic_uprising
Also be sure to check out the great conspiracy, where a large coalition of peoples united in 367 united to take roman britain. I believe it was quite an extraordinary feet of coordination, but fell apart due to a lack of a cohesive goal. I believe primary sources for this event are rare, but perhaps somebody here can weigh in on this?