Emanuel already said everything, but just to point it out in a quite different way.
In both sentences the verb sollen expresses that either someone said I had to do or if I personally have the opinion that I should do.
The first sentence can refer to a time in the past. And Emanuel is right when he doesn't agree completely to my comment. It does not necessary say that it has not happened:
Ich sollte mit Ihnen gehen, bin aber zu Hause geblieben. (not happened, I did something else)
Ich sollte mit Ihnen gehen, deswegen bin ich zum Treffpunkt gekommen. (happened or at least I tried to)
But it is more likely that I talk about a situation which happens now:
Ich sollte mit Ihnen gehen, bin mir aber noch unschlüssig. (I still need time to think about it)
In the second sentence hätte means that something did not happen although it should've happened:
Ich hätte mit Ihnen gehen sollen, bin aber zu Hause geblieben.
If you want to be unambiguous you either add a subordinate clause or you use the latter sentence.
Note regarding your comment on Emanuel's answer:
The meaning of Ich konnte mit Ihnen gehen is a bit different, but the rules are the same. Können means to have the possibility to do something. Ich konnte just says that it was possible but you don't say if you did.
But Ich hätte mit Ihnen gehen können means that you haven't done it. Here again: Ich hätte emphasizes that you missed to do it.