Neil Oliver's short film about Hadrian's Wall is a must see. There is one tiny error in it...the Wall was built by the II, VI and XX's legions (the 2nd, 6th, 20th)...not the mysterious 9th* as detailed in one of the slides! Tony Wilmott, English Heritage archaeologist, is featured talking about the wonderous bath house at Chesters' Fort. This provides an excellent description of what Roman bath houses comprise. Neil even talks about the duffel coat at Hadrian's Wall! I tried to upload it but it did not work. Find it here.
Take a look at this Scottish history website here. There are several interesting links and feature - all about Hadrian's Wall, the Romans and Caledonia. Definitely worth a closer look and exploration.
*For most of his life, Birley found recreation in the composition of light verse, and in 1980 his friends were surprised to receive his privately printed volume Fifty-one Ballades. In these he often made light of the over-earnest debating of historical or archaeological matters among colleagues. So on hearing the matter of the disappearance of the Ninth Legion from Britain raised in argument he would often respond:
The Fate of the Ninth still engages
The minds of both nitwits and sages;
But that problem, one fears,
Will be with us for years
And for ages and ages and ages!
Taken from Professor Eric Birley's Obituary in The Independent (here).
