One can easily show that if $n$ is $2$ or $3$, and $a\in\mathbb{Z}$ such that $a$ is not an $n$th power, then $x^n-a$ is irreducible over $\mathbb{Z}$ since it has no roots. However, I believe more generally that:
If $n$ is any positive integer and $a\in\mathbb{Z}$ such that $a$ is not a $p$th power for any prime factor $p$ of $n$, then $x^n-a$ is irreducible over $\mathbb{Z}$.
However, it does not suffice to just check that $x^n-a$ has no roots when $n\geq 3$. So how can one prove this? Is it even true? What if we replace $\mathbb{Z}$ with an arbitrary UFD?
Edit: As per Thomas Andrews's example, assume $\pm a$ is not a $p$th power, not just $a$. In the UFD case, assume no associate of $a$ is a $p$th power.