I never felt like I got too powerful too quickly in Oblivion, but that's because the game's level scaling made it so that you didn't really feel more powerful as you gained higher levels at all. Sure, you started finding better items, and the numbers for your health, skill and attributes got better, but when everywhere you went you encountered enemies that got progressively stronger even as you did, it didn't amount to much beyond enemies and equipment looking more and more impressive. Now, Morrowind, on the other hand, did suffer from this problem. Admitably, the game started out a little slow in this regard because at the start, you'd die a lot if you weren't careful where you went or what you did, but once you got to the point where you had a bit more freedom in regards to where you could safely go, you'd star getting more powerful much more quickly, eventually reaching the point where nothing could threaten you, it was usually somewhere around level 20, the exact time depending on the character you created and how you'd been playing. But ultimately, it would happen. Hopefully, Skyrim will be better in this regard, though. It's been said that 50 is the level characters are usually going to reach, I hope that I can find a threat that will challenge me even when I reach level 50, that doesn't mean I don't want to get more powerful as I gain levels, I want to, otherwise leveling up seems unrewarding. But I don't want to feel like there's nothing in the world I should fear as soon as I reach level 20.
I could see dragons filling this very well. As you level, they will likely level too, well maybe. Then as you level some dragons could gain more shouts, maybe smarter tactics. Maybe at any given point some dragons could still offer a challange, while other dragons could offer a chance for growth character growth and not level, thus dying easier and offering the feeling of character growth.