I just posted on my blog a list of web resources for Roman numerals... I'll copy the list here also. As you can see, it includes quite a variety, such as free worksheets, dot-to-dots, games, tutorials, and so on.
I guess these are usable for grades 2, 3, and 4 at least. The second link is to my own site -- you can create free worksheets for Roman numerals there. Enjoy!
Roman Matching Game
Drag the Roman numerals to the corresponding Arabic numerals. If you win the next game will be faster. See if you can beat the clock!
Roman Numerals Worksheets
Generate worksheets for converting Roman numerals to normal (Arabic) ones, or normal numbers to Roman numerals, or do easy addition and subtraction problems with Roman numerals.
Roman Numerals Dot-to-Dots
Some dot-to-dot worksheets with animal themes that use Roman Numerals.
Roman Numerals - Wikipedia
An article explaining the usage, origin, and a chart of Roman numerals.
Roman Numerals Tutorial
Good explanations of how numbers are formed using Roman Numerals, such as when to "add" or "subtract" the symbols. The page allows interactivity where the student can self-check his/her understanding.
Quia: Easy Roman Numerals
Translate Roman numerals into Arabic (covers I, V, and X only). Matching game, concentration, or word search.
Roman Numerals - A Maths Webquest
A set of web pages where you can learn all about roman numerals: how they originated, how to read & write the numerals, and places we still use the Roman number system today.
Roman Sequence Game
See how fast you can put these Roman numerals in the correct sequence.