The other commenters and answers basically cover it.
Cloaking Device: You only need stealth if you engage in reconnaissance or sneak attacks. You could argue the Neutral Zone attacks by the Borg were sneak attacks but they were so effective that clearly they didn't need a cloaking device.
The series has also been consistent in implying that cloaking devices take large amounts of power (TOS, TNG: The Pegasus, Romulan Warbirds quantum singularities as power source) and that Borg cubes are huge, so we can imagine the power drain would be astronomical.
Also, remember the purpose of Borg cubes, they are tactical, they are for attack and they can use their transwarp conduits for tactical surprise. If the Borg were to employ cloaking technology you'd imagine it'd be on smaller things like probes.
However, I think the best is simply it's against their philosophy. Resistance is futile. (the hammer that see's everything as a nail; no matter what you say or do, we're going to attack you with overwhelming force, no need to hide)
Shields: Clearly the Borg have a form of "shielding." Their adaptive fields quickly render the phaser attacks from the Enterprise ineffective. More importantly, though, you have to remember that cubes are designed to be extremely reliable through awe-inspiring redundant systems.
I believe it was the Best of Both Worlds, Data commented on the decentralized nature of the cubes (no bridge, no engineering) and how they could sustain massive amount of damage and still remain functional. Unlike all other vessels that have sensitive areas (take out their weapons, phasers, thrusters, warp drive, etc) the Borg have no "pain points."
The power expenditure necessary for shielding such a large vessel seems less justified when so much of the vessel can be sacrificed (and regenerated) for relatively cheaper. Whereas other Trek species rely on their vessels remaining whole (or at least critical areas being shielded).
In general, it seems very unlikely that the Borg encountered many species where shields would be the most effective defense given the power drain. That said, you have to wonder why they didn't have something to suppress transporters.
For that, I'd simply suggest a more common natural phenomenon: arrogance.