Leveling penaltiy in Skyrim like there was in Oblivion

Absolutely, leveling up faster has these disadvantages:

• You lose the ability to take advantage of the 5 training attempts per level (though this further increases your leveling speed). You should use this in a hard to level category, such as armor, restoration, lock picking, etc.
• Your equipment will fall behind compared to the increased difficulties of monsters you face. (This is a major issue as facing high level enemies and dragons wearing hide armor is typically not a good idea). Taking it slow gives you plenty of opportunities to hoard up gold and valuable loot for better gear and spells.
• You may not have enough helpful secondary skills, such as alchemy, restoration, etc to make adventuring easier.
• Power leveling a none combat related skill (such as smithing) means you won't be as effective in killing those enemies who will be using better gear than you.

The best approach (though time consuming) is to try to maintain a constant level across all your skills. Even though you don't plan to put any perks into most skills it's still beneficial to be able to do some things (such as enchanting, lock picking, or improving gear through smithing).

^{Note: The images link to their respective character's UESP wiki articles.}

Night Mother — Oblivion

Source and higher resolution version of the images: Reddit /r/Skyrim post, "A list I made of all the characters that appeared in an Elder Scrolls game before.", by OccupyTamriel; except 'Night Mother' - images are from UESP wiki.