Not in Skyrim, no. Countless times in Oblivion anytime I started a new game I would forget to level up throughout the MQ. I would end up being in Paradise at level 2

I think I can understand what you mean by leveling up (in your opinion, obviously) can break immersion, unless you are doing some hardcoe DiD session. Sometimes, when I level up I refrain from perk points though. Not because I forget or don't want to, it is just there isn't anything to invest it in at the time.
There's this guy on the forums known for this very thing. I think it would improve balance and immersion. I really hate level scaling. But I still wish to use perks myself.
Randomization in loot and enemies, and level scaling. The two biggest problems of TES. Besides writing and quest design and characters and and and. . .
There was a poster here who never leveled beyond lvl 1. He had a thread about it.. inspired a lot of people to follow suit. I can't find it though, but he had the progress of a lvl 42 but remained at lvl 1.
NINJA'D
Don't happen to recall the name, do you?