Roman administration had a lot of common sense and was well respected; it was politically very inclusive; most folks over the centuries were proud to be roman citizens and were very sorry to see it go. All in all, the roman empire was a pretty rare thing: a long-lived union of very diverse peoples over a large area that inspired devotion and identification.Many people are still proud to proclaim -- some even with their very name! -- that they "are Romans".
Personally, being a German and all, I prefer to include the mediaeval "Holy Roman Empire of the German Nation" in the concept, and see it as a way of saying "I am a European".