It depends on the type of game I guess. I like the way Final Fantasy 13 did it when you arrived on Gran Pulse. Everything was there from the start of the chapter, there were some enemies you could handle, some that were a challenge, some that were out of your weight class and some that would wipe your team without even noticing you were there. You had to pick your battles and know when to bail. Despite the problems that game had, you could at least feel yourself getting stronger while the world stayed roughly the same.