I think it really depends on how you level.
Currently, you're taking into account Oblivion's level-scaling system, that created more powerful opponents the higher level you were.
If Oblivion did not have a level-scaling system (and it can be played that way if you're on PC through modding), it would of course be beneficial to level up faster so that you're strong enough to enter zones where higher level mobs appear.
As I have said in many other posts, I always likened the skill systems in TES to that of the Ultima series. You didn't have classes or even levels in those games. You just had skills. Those skills grew based on their usage, and that led to a higher level of character customization unparalleled even today. It didn't matter what you choose at the beginning to be your highest skills; you would grow stronger based on how you played that character. It makes more sense in the grand scheme of things anyway. Playing an unscrupulous rogue who gains much of her experience by doing legal, heroic activities like rescuing hostages or killing monsters should not be considered a rogue at all. If you started the game being unable to pick a lock and then miraculously through killing monsters and saving maidens you're able to pick locks with ease makes no sense.
In my opinion, this is how all RPGs should be. No levels, no classes. Just a long list of skills that you can become better at by practice.
The problem I have with the use and get better system of TES is how do you reward the player for things that are not skills.
Many games, including Fallout reward the player for the following with xp:
-Finding new locations
-completing quests
-random stuff like reading a book, etc
I always though this was fantastic way of doing things.
That not to say I don't like how it is done in TES and Skyrim sounds like there doing it the best so far, but I would like a way to implement some reward for the player for doing these kinds of things.