Rome actually did conquer Scotland for a time; establishing forts and annihilating a Caledonian army at the battle of Mons Graupius circa. 84 AD.

They withdrew south for multiple possible reasons, some of which are stated below;

-lack of extractable resources

-the local tribes didn't have the urbanization level to make establishing provincial government easy

-any time there was a opportunity to solidify conquest of Scotland there were other problems in more important areas of the empire that demanded more attention

-Britain is very isolated, northern Britain even moreso

Here is a article detailing all the major theories

Here is a map showing the campaign under Agricola into Scotland

Also does anyone know why they didn't bother with Ireland?

Because the Romans never simply set out to conquer Europe, every single campaign was, at its heart, its own campaign. Caesar did not attack Gaul because he wanted Rome to conquer Europe, he did so because of the political circumstances at the time. And there were no such circumstances favoring a conquest of Scotland. The invasion of Britain itself was rather an anomaly, as Augustus really put an end to the period of Roman expansion.

Also worth noting that while Caractacus and Boudicca get all the press for resisting Rome, they paled in comparison to the challenge faced in the pacification of northern England, especially the brutal decades long series of wars against the Brigantes. There would be little appetite to engage in another such struggle.