How did the Romans manage to effectively combine their whole empire into one unit?

Unlike many religions or other invaders, Rome did not try to indoctrinate the people it conquered into its ideology, or force them to behave a certain way. Instead, Rome offered citizenship to many of those such people, who would then slowly become more and more "Roman" through osmosis. This way, the conquered people were kept happy and non-rebellious, but still thoroughly subsumed into Rome.

Also, Rome had a complex system of roads, which were originally built to transport its army, but also acted as a path for trade, and allowed a flow of ideas and culture within such a large spread of land. Trade bound the empire together financially, and the flow of ideas and culture unified the minds of the people.