A Roman province (Latin, provincia) was the largest territorial and administrative unit of the Roman Empire's foreign possessions (beyond the Italian peninsula). (The word province in modern English therefore has its origins in the term employed by the Romans.)
Provinces were generally governed by politicians of senatorial rank, usually former consuls or former praetors. (A later exception was the province of Egypt, incorporated by Augustus after the death of Cleopatra - it was ruled by a governor of equestrian rank only, perhaps as a discouragement to senatorial ambition).
Under the Roman Republic, the governor of a province was appointed for a period of one year. At the beginning of the year, the provinces were distributed to future governors by lots or direct appointment. Normally, the provinces where more trouble was expected - either from barbaric invasions or internal rebellions - were given to former consuls, men of the greatest prestige and experience. The distribution of the legions across the provinces was also dependent of the amount of danger that they represented. In 14 AD, for instance, the province of Lusitania had no permanent legion but Germania Inferior, where the Rhine frontier was still not pacified, had a garrison of four legions. These problematic provinces were the most desired by future governors. Problems meant war, and war always brought plunder, slaves to sell and opportunities for enrichment.
Sicilia (the island of Sicily) constituted the first Roman province from 241 BC, having been progressively conquered by the Republic during the First Punic War (264 - 241 BC).
The number and size of provinces changed according with internal Roman politics. During the Empire, the biggest or more garrisoned provinces (example Pannonia and Moesia) were subdivided into smaller provinces in order to prevent the situation whereby a sole governor held too much power in his hands, thus discouraging ambition for the Imperial throne itself.
With the formation of the Principate after the civil wars which ended the Roman Republican period, Augustus retained the power to choose governors for the provinces in which he and his successors held supreme military and administrative control. Thus the more strategically critical provinces, generally located along the contested borders of the Empire, became Imperial provinces. The remaining provinces were maintained as Senatorial provinces, in which the Senate had the right to appoint a governor.