I don't think a sandbox rpg such as this can even really have a great leveling system. However I think Skyrim's leveling system (and that in Fallout 3/NV) was decent, although there were some big problems. Getting penalized for leveling up, especially non-combat skills is awful. There's no sense of increasing challenge in more dangerous areas, I only had a few moments in the game when I found something too hard, and came back after a few levels and was able to deal with it. It also led to improvements in weapons and armor really being meaningless to, they're more like reskins than anything. Plus certain things become ridiculous, I was more afraid of fighting a bear when I was level 20 than I was of fighting a dragon at level 4. However, at least some enemies do stay weak.
Oblivion's level scaling was the perfect example of what not to do. Remember having to abuse level up bonuses, taking skills you use a lot as miscellaneous skills, just so you wouldn't get owned by level scaling? Try playing an archer in vanilla Oblivion, without being exploity, by level 15 your enemies will look like pincushions before they die. I couldn't even get into the game with level scaling mods, they helped but the entire game was just built around the idea that everything will be as strong as you. I remember some things didn't seem to scale-up, like rats and wolves, but you would still end up fighting bandits in full glass or daedric armor.
I never played arena and daggerfall enough to talk about their level-scaling system.
Morrowind's level scaling was pretty minor. The wilderness, was for the most part, pretty safe at any level, outside of areas like Red Mountain, and Molag Amur regions. They did become a bit harder as you leveled, scribs might become nix-hounds for instance, but you could still find scribs thumping their tails. This also led into the annoying cliff-racer infestation, at level 1 there are almost no cliff racers, by level 7 they're everywhere. There was a sort of rough progression from bandit caves, to Dwemer ruins, to strongholds, to Daedric ruins, and then end-game ruins in Red Mountain. Not to mention other enemies such as vampires, and high level Daedric cultists and such. It wasn't set in stone, sometimes you could find very powerful enemies in a cave that you would expect to clear out no problem at level 15, but instead the bandits insdide clear your body of it's internal organs. This allowed for a real sort of feeling that you are becoming powerful. If something was too difficult you could run away and then return when you're stronger. Watching bandits harmlessly try to fight you when you were level 25 was sort of hilarious. However, the game did become too easy. After you beat the main quest, nothing in Vvardenfell could challenge you until you did the expansions.
On the whole I prefer Morrowind's system, despite it's flaws. And before anybody calls me a rose-tinted nostalgic, I still play Morrowind (modded quite a bit I do admit). I really think Skyrim would have been amazing with a system like Morrowind's with a bit more care taken that even high level players have something to do. However, I would take Skyrim's level-scaling over Oblivions any-day, and I felt it really wasn't too bad, just needed improvement.