I too voted for 'some large area's connected by one or several points' like in the first Divine Divinity.
One thing I like about this system is that I can 'finish' a level before moving onto the next. I can explore every corner and kill every monster before I move on to the next challenge.
It's a nice way to scale the difficulty of the game too. The creatures you encounter in the first level of the game are nowhere near as challenging as the creatures you'll face in say the fifth level.
It might be rather nice to have just one exit from an area instead of several though. It might be kinda nice to have a mini boss guarding that exit as well (ala Diablo2). You'd have to slowly fight your way towards that exit point, progressively facing tougher monsters as you go and then defeat the mini boss before you can proceed to the next level (or perhaps you could take the sneaky route and use stealth to creep past <img src="/ubbthreads/images/graemlins/biggrin.gif" alt="" />).
As for the types of exits, how about something like a seaport? Perhaps you could click on a boat to trigger a load screen of a boat at sea (it doesn't have to be animated) and then you arrive at another seaport.
Or perhaps a mountain pass? You click on something like a stone gateway to trigger a load screen of mountains and then you arrive on the other side. There could be a complete change of scenery too, for instance, you left behind lush farmlands and are now in a desert wasteland.
You get the idea <img src="/ubbthreads/images/graemlins/biggrin.gif" alt="" />.
