Right-on Mikus.
Morrowind, want a challange, go to a higher-level area.
Oblivion... well, you're screwed, there are no 'x areas' all and everything is the same. Progress they call it.
Thus I am glad with the 'de-progression' I've encounted in DOS. Things feel quite easy, but I am sure once AI kinks got worked out that's improved too.
Yes, but MMO's are about *the* example how not to do RPG, so if desinging a SP RPG we can savely and compeltely ignore them.
And yes, this may surprise surprise you but I actually prefer that if I enter a low area I can get around it unscathed. I just hate games who to make you 'always challenged' (as you call it) keep fighting the same monotoneous fights in areas you've already long cleared and just pass by to go back for one reason or another (usually a quest). Sure, a higher opponent for that specific quest that you got beyond the areas level makes sense. But just the same stuff you got before, but NOW the have MORE HP! ("Oh, I am so challenged and intrigued and I love this!" (gamedev thoughts player things!) "Oh, joy, more contentfiller combat to artifically stretch gametime on a cheap way rather than an interesting way" (I would actually think).
This may surprise you, but always meeting foes your level is mindbustingly boring and grating on a player. Variety is the spice of life, and if you're 22 you get 22 foes and you just leveled up to 23, and as response the game gives you 23, well, the game loses all point playing anymore.
And I don't WANT to do that about a game, so yes, I would support not making it actually a developers goal to make me not want to play.
To answer that; Play Oblivion.