Gibraltar Tunnel is a useful way of linking North Africa to Rome, and continuing the link between Iberia and Mauretania.
Sicily-Africa seems a bit too far to build a tunnel, although undersea cables and pipelines would be useful for bringing oil and natural gas to Europe as well as islands like Sardinia where it would lower the cost of development thanks to cheaper electricity.
Sicily-Italy Bridge is useful, but there's the annoying issue of earthquakes and tsunamis. That and political corruption are why it doesn't exist in OTL. Some connection between Sicily and Italy would be nice.
Otranto Tunnel sounds interesting, but I'm not familiar with the OTL details/plans.
Bosphorus Canal I'm not sure of, but if it's like some of modern Turkey's plans, then it's definitely useful and might as well be done. Even if the Straits won't be as politically important with a unified Rome and all.
Suez is doable, although why wouldn't they have renovated the Canal of the Pharaohs? Might as well use both.
Qattara Sea is definitely doable, and useful for Egyptian agriculture (outside of oasis agriculture--Siwa and other oases will be screwed hard) and especially the Egyptian economy since it means a nice source of industrial chemicals. Maybe a link with the Nile to make a good inland port and an alternative to the Nile? There's also the benefit of hydro power depending on what version of Qattara Sea plans you follow.
Sahara Sea is a bit less useful than Qattara and harder/more expensive to do, but it likewise means benefits to agriculture, a good source of chemicals, and if expanded far enough, a canal linking lands south of the Atlas Mountains to the Mediterranean. Incidentally, there's also a nice desert flat south of Cyrenaica which could be good to flood for the same reasons. I can see Rome's African provinces lobbying for this, however.