That's how it should be! That's one thing I liked about Morrowind that Oblivion ruined. Enemy types/levels are scaled in Oblivion, I think I may have died only a handful of times in that game playing on the default setting my first time through. On Skyrim, I've put in about 30 hours so far and have probably died 50 or more times. Wandering into a cavern that you're not ready for yet makes the game more realistic.
Some vague hint might be nice. Like "you feel a chill" or something like that if you walk into a dungeon whose level range is >>> yours. Or maybe make something like that part of Clairvoyance.

Of course, even that wouldn't really give a good indication of danger, since you could put three lv20 characters next to each other, and with completely different skill gains and perks they'd all be vastly different in combat power.