Okay, this may seem like a foolish question, but do you NEED to level up to get through the escape from Helgen?

See, I was thinking about a possible quick way to get Archery leveled to a decent level. The best solution for that would seem to be Faendal, the Archery trainer/companion in Riverwood. It seems to me like, if you get through the escape and the run to Riverwood with your first companion, without having leveled up, you can quickly do Faendal's errand, get him as your companion and then do the training shuffle. To wit:
a) buy Archery training
trade with him and reclaim your gold
c) repeat a and b until trained 5 times
d) level up then restart from a
You should be able to do that until you are at Archery 50. You should then have all the perk points needed for, say, Overdraw 3/5, Eagle Eye, Steady Hand 1/2, Power Shot and even Critical Shot 1, and even perks in other skills, depending on how you worked your skills during the escape.

So... doable?

I don't see why you need to prevent all leveling at Helgen to take advantage of that. You can switch to Aela later on and I think she can take you up to 75 (for free as a follower).

After many playthroughs, I had heard you could level up your sneak right in this point to which this last time, I took advantage.

http://www.youtube.com/watch?v=nSZuW4sqCCA

Yeah, leveling Sneak is pretty much a "gimme" right at the beginning of the game. True, One-Handed is also possible, but let's face it - it's slow as hell to level up through use.

As for why I was looking at not leveling.. speed. See, if I enter Riverwood with a fully-leveled character, I can purchase a maximum of five points from the trainer. After that, I can't purchase another five points until I've gained another level. On the other hand, if I enter Riverwood more or less unleveled, I can buy 5 points, click on level up, buy 5 more points, level up and so on until I hit the trainer's limit of 50. The difference is that this second way takes me from 15 (or 20 or 25) to 50 in only a minute.

I've made it out of Helgen at level 1 several times. Just leave the fighting to Hadvar/Ralof, don't sneak, and you'll be fine. I don't really see the point, though.

I have never leveled up before reaching Riverwood and haven't felt gimped. Seriously you will max out all your skills long before you run out of quests to do in this game.

I don't see any need to grind at Helgen. It's a boring way to play the game, in my opinion.

I personally don't do any superfluous leveling before I get out of Helgen. I go into a new game with a very solid idea of the character I'm going to play, then I just use the associated Skills as that type of character would and I let the game level me naturally as I use the skills.

By no means do I imply that for an assassin I'll sit there and smack the hell out of Ralof just to build up my Sneak and One-handed Skills. But I will use the free long bow he gives me to try to snipe the bear at the end of the caverns. When playing a Mage, I won't just sit there for hours and roast Ralof alive just to level Destruction.

I just use the appropriate Skill for the type of character that I'm playing based on what the situation throws at me. If I gain a character level or two, then I gain one or two. If I only improve a couple of skills before baby's-first-dungeon is completed, then that's just how it goes.

But by no means do feel the need to sit there and grind a couple of skills just to have a couple of levels under my belt before I see daylight again.

This. I never even use trainers - I let all my skills level up naturally and still I find myself in need of a mod for slower leveling.

I like it if my characters are weak in the beginning. It makes leveling up and growing powerful all the more exciting. Also, don't you think it's boring to just stand in one place and do the same thing over and over again? You could spend this time having a great adventure!

But to answer your question: yes, it's perfectly possible to leave Helgen without leveling up. I've done it with most of my characters.

QFT. I had to get a mod for slower leveling.... it was driving me nuts....

Argonians and Khajit especially have the power to claw there way through Helgen. With them you can get through Helgen without gaining ANY skill xp.