Once you've finished the game it's actually more fun on a replay. You know what the level of enemies will be in the game's areas and hence can fight them at the right level.
But of course, once you get above level 30 you're invincible. I think this is not bad... it takes long enough to become level 30 and you're supposed to be 'godlike' powerful. It's in fact similar to Morrowind this way.
