I like the idea of different level bandits. In the beginning, you would have to run from the ones you weren't strong enough to defeat, while others would be more of an even match.
It would also make sense that the lower level bandits would be near areas with less money, while higher levels would either be in organized groups, or near places that had more wealth.
No matter what - monsters should never level. Why would a giant spider get stronger just because MY strength went up - it doesn't make sense..
I like the idea of different leveled bandits as well, but I don't know that rich areas should have more powerful bandits...really wealthy areas should have no bandits, they would be replaced by theives and assassins because the rich pay for guards that chase off any obvious rabble rousers. (and wouldn't it be fun if our more troublesome characters could be flagged as trouble makers and get banned from certain well to do markets or social scenes, making us sneak in an step back into shadows when guards took their rounds?)
However, I am actaully okay with a certain degree of leveling enemies (even monsters) if the lore can make sense of it all. For the immersion aspect mentioned I'm very interested in at least a few of ever basic enemy type being present in the world from the very first instant. There should be places off the beaten path that have dangers that I won't be able to conquer until after dozens of hours of play. After gaining enough levels, I should be able to toss the local guards to the curb with some effort, but I'm fine with the big cities have a 2nd class of elite guard captains get called for people who don't know when to stop; then perhaps every town sending in the mage and fighter's guild leaders at you in a combo attack if you don't stop your rampage - this is less level scaling and more towns applying increased resources to stop an attacker until he stops of the town is beaten.
But I'd also like a few unique characters that gain level like we are. Perhaps they are rival adventurers, and whenever we cross them they are within 2 levels of us because they are also our killing wolves, then bears, then giants. Or maybe there is a graveyard with a fairly weak lich in the bottom of some crypt. But he's praticing and growing his powers. Over time he becomes more and more powerful and his graveyard becomes more and more dangerous as well, and if we ignored him long enough his minions would be causing trouble acoss some regions of the countryside and he's have grown to be one of the most powerful enemies in the game. It would be matched to the amount of time that's passed in game instead of our level (b/c that makes much more sense), but that could work and lots of fun.
Also, since a war is on, generic troops could get better as the story progresses b/c they go from being green to veterans. Not all of course, but maybe over the course of the main quest the numbers go from 5 green troops for each elite trooper, to 1 green/crippled trooper to each 3 elite troopers.