Well we do know about a rather large ramp construction up to Masada due to Flavius Josephus but that was military rather than civilian!

Caesarea was s provincial capital back in Roman Judea. According to Josephus in Antiquities of the Jews, it was rebuilt under Herod/Roman Rule and the Romans with the full works: Amphitheater, market places, temples an aqueduct for fresh water, cisterns and a breakwater to protect the harbor. This would certainly qualify as improvement through civil construction and would be something "that the Romans have done for us!".

The Romans/Roman Jews extensively built in other places too but I used Caesarea as an example as it easier to see as a Roman city. However, there are others such as Tiberias in the province of Gallilee. There is so much history at the other locations, it is more difficult to drag out what is particularly theirs. Here is a list of currently active archeological sites.

Someone who knows the area better may comment on the roads/bridges that the Romans built (I can't think of any locations off hand) but given that the area was occupied by the Romans for a couple of centuries or so, it would seem strange if they didn't do their regular construction.

The main point of contention between the Romans and the Ancient Israelites was monotheism, and they were always on an a path to disaster.

The Romans were quite tolerant of other religions in general. Classical Roman religion is distinct from modern religion in that belief was not required-- only 'respect' was required. The Romans believed that certain sacrifices and traditions had to be observed to curry favor with, and avoid the wrath of, the gods. Regardless of whether or not you believed in the Roman gods, or had your own gods, as long as you performed the sacrifices, paid your taxes to support the State and the State religion, and respected roman traditions, the gods would be pleased, so Rome was pleased.

This wasn't an issue for other pagan religions, who had no problem believing that the Roman gods were either their pantheon by another name (Greeks), or just an entirely separate group of gods all together. The classical world was rife with the notion that one City-State had their god, and another had their own. If your City-State killed and enslaved another? Your're gods were just stronger, and also killed/enslaved the other gods.

The Jews (and later the Christians) had such friction with the Romans because their religion was not only monotheist but universal and exclusive, i.e., there is only one god, all other gods are false, and to honor false gods is heresy.

So the Jews would not perform sacrifices to the Roman gods, resented any taxation to the Roman State, nor suffer temples to any god but Yanweh in Judea. Obviously, a big problem for the Romans.

Prior to 63 BCE Judea was a client kingdom of Rome-- not part of the Republic or Empire per se. As such, while there were certainly benefits of being in their sphere of influence, Rome didn't spend their own money improving the lot of Judea until it was actually a province. The process of becoming a province was disastrous for the Jewish people. Starting after 63 BCE, the Romans occupied the province directly, and began collecting taxes and appointing the Jewish High Priest themselves. The Romans didn't see the difference between the High Priest and the Pontificus Maximus-- it was a political position to them. To the Jewish people, it was central to their religion, and the forcible appointment of a 'Roman' High Priest and the collection of taxes to support the pagan state and its religion was heresy.

It nearly came to a head several times. Caliguila, believing he was a god, planned to build an alter to himself inside the Temple in Jeurusalem. The Jewish people refused, and Caliguila threatened to destroy the Temple in response. If he had push this forward, it would have kicked off a revolt even earlier than what had happened. Only the intervention of King Herod, a family friend of the Julio-Claudians and Caliguila himself, stopped the plan. (While this was going on, Jesus of Nazereth was allegedly doing his thing. The New Testament makes so much more sense with the context of Roman History in mind. "Render unto Ceaser what is Ceaser's" speaks to the notion that taxes are secular and money is coined by Rome anyway-- just pay them. God knows the truth. This was radical to many.

Later on, as tensions over the mutual exclusivity of the Roman and Jewish religions grew, the Romans are said to have continued to defile the Temple-- Romans would enter the Temple (not allowed) and allegedly exposed themselves or defecated on the Temple. A torah was allegedly burned. The casting of the tax collectors out of the Temple speaks to this as well. Jesus was a Jew, after all. His issues were with the Romans, Jewish collaborators, and their treatment of the Jews. His hailing as the messiah by some Jews has much to do with his actions against the Romans on behalf of the Jewish lower classes-- a point most Christians gloss over or forget.

In 66 CE, the Roman Procurator "stole" the Temple's treasury. This kicked off the Great Jewish Revolt. While the upper class of Israel were collaborators with the Romans (either selfishly, out of wealth and power to be gained, or begrudgingly, out of fear that failure to collaborate would mean the destruction of Israel-- and they were right) the lower classes flocked to the Zealot movement, which felt Yanweh would not suffer these indignities or these Roman pagans, and they must be expelled. A glib and rough analogy is that the Zealots were the Malcolm X to Jesus' MLK-- forget this casting out of the money lenders but turning the other cheeck and rendering unto Ceaser. These people need to go or die-- now. The uprising was initially successful in 66 CE, with the Romans expelled. But it would not last. Future Emperor Vespasian, and his son (and future Emperor) Titus, were sent by Nero to crush the revolt.

The war was brutal, with what we would call war crimes on both sides. Mass executions, suicides, rapes, sacks, etc. The brutality of the war culminated with the Sack of Jerusalem by Titus is 70 C.E. Despite Titus' explicit orders to the contrary, the Roman Legions were so overcome with rage and bloodlust because of the conduct of the war that they burned the City, and destroyed the Temple. ( or so it is told. The Jews don't believe this. For centuries Jewish people attached the epithet "may his bones be crushed into dust" to the Titus' name) The Jewish people went into exile, known as the great diaspora, and the Province was renamed Palestinia. This marked the end of Israel until ~1,900 years later. It also marked the end of the Temple phase of Judaism and started the Rabbinical phase. There are many aspects of Jewish law that still exist, but cannot be practiced without the Temple. Judaism was forever altered, and the Jewish people scattered across southern and eastern Europe-- a migration that would set the stage for disastrous pogroms and eventually the Holocaust.

So while the incorporation of Judea into the Republic/Empire may have brought increased economic activity and development, it also was essentially a death warrant for the Jewish State. A sovereign Jewish State was incompatible with Rome in the way that Greece or Gaul were not.

So the Romans may have brought trade, infrastructure, and wealth. But they also inevitably brought death, and the destruction of the Temple and Judiasm as it was then known.

Quick point that needs to be made, "Israeli" is the adjective which refers to a citizen of the modern country named Israel. By using the term Israeli to refer to the ancient people in the Roman territory of Palestina you are probably unintentionally making a quick big political statement conflating the Judeans of the Roman period with the modern nation state. The epistemic term of the first century would be "Israelite," and from the Roman perspective it would be "Judean."

Besides the interesting answers here, an interesting late antique Jewish perspective on this can be found in the Babylonian Talmud, Shabbat 33b. In it, a Rabbi praises the Romans for their accomplishments, specifically roads, bridges, and baths (and another Rabbi disagrees, because these were ultimately for their own benefit).

There are a few important points from this. First, it seems that Roman accomplishments in those areas (roads, bridges, and baths) were recognized by Jews. What's also important to note is that the disagreement is with whether the Romans deserve credit for them, not whether or not its factually accurate, so perhaps one can presume that the Rabbis saw Roman construction as beneficial, even if they didn't like the Romans because of it.

This also feeds nicely into your question about whether the investment was in infrastructure or was exploitative. I'd like to point out that both can be the case. Here, the ancient view (or rather an ancient view) is that it's both. The Romans invested in infrastructure, and the native inhabitants benefited to some extent. But the goal of the infrastructure was to impose Roman strength, both militarily (moving legions around), economic (taxes, plus what the passage itself mentions, tolls), and cultural (importing Roman things, like baths, primarily for the benefit of Romans). A parallel could be drawn to colonial development in the 19th and 20th century. European powers developed colonial infrastructure, but in many cases it was to benefit their own administration and settlers, rather than improve the area. This made it not terribly useful for anyone else, and did not make the native inhabitants like the colonizers generally.

As you may or may not be surprised to hear, the Romans built many of the things mentioned in the song! If you ever get a chance to visit Israel, something you will notice if you start visiting many archeological sites from the era is that there are amphitheaters everywhere. The Romans built towns modeled after their own back in Italy, with a planned system of roads, public buildings and everything else a typical town would need. The Romans occupied the are for hundreds of years, and turned it into one of their wealthy eastern provinces. This mosaic dating from the 4th century is not a public work, but shows the Roman influence in the region. While it may have been the house of a Roman, it could also been the house of a rich local who has been Hellenized. This brings the crux of the issue, did the Jews want these things? It depends. Many Jews, particularly members of the wealthy elite, became very Hellenized, wearing Roman clothes, participating in Roman festivals and speaking Greek. However, many Jews were bitterly opposed to these changes, such as the Zealots, who are parodied in Life of Brian. However, unlike the characters in the film who happily view the Roman entertainment while complaining about the Romans themselves, the Zealots were an extremist group that opposed practically all things Hellenistic. They would eventually revolt against Roman rule and be defeated, leading to the destruction of the temple and many Jews being forced into two thousand years of exile.

However, there were several other groups in Judea at this time. The Essenes are a famous example, rather than get involved in what they saw as the corrupt politics of the priestly class, they instead tried to live a life of simplicity away from the larger cities, believing that if they were pure enough, God would help them. But they were a small group. Actually, all the groups were small, only numbering in the low thousands, as most commoners were not actively involved in what were essentially disputes within the priestly class, although many commoners supported various factions. The Pharisees were one of the larger groups, as well as their rivals the Sacdducees. While the Sacdducees were the previously discussed Hellenistic faction, the Pharisees are considered to be the founders of modern rabbinical Judaism. They opposed many reforms being made, but were not nearly as violent or zealous as the aptly named Zealots. So, if you were allied to this faction, you would most likely not attend Roman festivals or theatre.

These factions mostly disappear after the failed revolt in the year 70, but they are important for understanding your question because yes, the Romans did do all of those things. They rebuilt the roads, improved ports, built many towns and increased trade. But just because those things sound good to you, doesn't mean everyone like them. The Roman rule in Judea was always tenuous, with the Romans even trying to appease the population with special exceptions. Jews were not obligated to participate in Roman Religious activities, for example, and the Romans also supported the upkeep for the temple. But in the end, they were not able to keep the peace, and after brutally suppressing the rebellion, renamed everything, tore down the temple, and thoroughly Romanized the province, maintaining firm control until the Islamic conquests, not counting the Palmyrene Empire during the crisis of the third century.

A little pedantic, but I'm pretty sure there is no such thing as "Ancient Israelis" since the term 'Israeli' specifically refers to a citizen of the modern state of Israel, which has only existed since 1948. The term would have been completely incomprehensible to residents of Judea/Palestine of the 1st centuries BCE/CE.

See this /r/badhistory post courtesy of /u/Tiako

For one the Romans, under Julius Caesar, exempted them from military service so that they could keep the Sabbath and their dietary laws (though some of course entered service anyway, there were always some Jews who were more flexible). This exemption wasn't always well enforced either, there are records of some Jews complaining to Roman authorities and about their fellow Jews being illegally conscripted.