Battle of Carrhae, classical example of highly mobile force can defeat immobile force in open field. Also the Roman army failed to take the mountains that would save their lives and lack of knowledge what they were facing.
Agreed. People often wonder how Caesar would have done against the Parhtians (he was planning an invasion to avenge Carrhae when he got assassinated). I think that Caesar could have won, as he would have been smart enough to have learned from Crassus' mistakes, and one of Caesar's former legates, Publius Ventidius Bassus, managed to win a major victory against the Parthians in 38 B.C. While Rome never conquered Parthia, they at least managed to keep them at bay.