If the did, were they just unsuccessful or was it later decided it wasn't worth it because the lands didn't provide worthwhile resources? I know at least that Hadrian's wall was more symbolic than meant to be a practical defensive structure.
Yes. The best example is Gnaeus Julius Agricola, Governor of Britannia (77-85) who also led the conquest of much of Britain. He invaded Caledonia (modern Scotland) and was very successful. He occupied much of the Lowlands, built forts, and routed the Caledonians at Mons Graupius. His army reached as far as Cawdor (near Inverness) on the northern coast of Britain.
He was recalled from his post in 85 CE by Emperor Domitian in the midst of his conquest. Tacitus (son-in-law of Agricola) claims this was done because Agricola was more successful in Caledonia than Domitian in Germania.
Note that Tacitus's treatment of Agricola in Caledonia is similar to his treatment of Germanicus in Germania. That is, he presumes that had they been given full independence in their endeavors, they would have been able to complete their conquests (perhaps, in my opinion, in similar fashion to military leaders of the late Republic like Pompey in Syria and Caesar in Gaul). He blames interference (on the parts of Tiberius and Domitian) for the failures of their campaigns.
On a different note, Antonius Pius built the so-called Antonine Wall through the Central Belt (Midlands) of Scotland, north of Hadrian's Wall. It was abandoned for Hadrian's Wall before it was re-taken up by Septimius Severus around 200 CE before it was given up again.