They got into the fourth round in 1998:
http://en.wikipedia.org/wiki/1998_FI...%28CONCACAF%29
And in 1994, they were second only to Mexico and likely would have made it if it was 32 teams at that point. In fact, they were penalty kicks away from advancing after splitting two games 2-1 with Australia.
http://en.wikipedia.org/wiki/1994_FI...%28CONCACAF%29