I wound up leveling in the Nibel mountains my first time through- out of necessity, as those grass hopper things pretty much took me to school when I first got there. And then I got lost in them, which didn't really help...

Nothing wrong with leveling intentionally though- I too spent time outside of the descriptively-named elf land pummling ogres so that I may partake of goods and services. And later, it was giants. I love the smell of LIT in the morning!

First time through especially, leveling often helps you recover from stupid purchasing mistakes (i.e. I bought a shiney new weapon, turned the corner, and there was a vastly superior one lying on the ground), or compensate for gross negligence about how the game works.

Many veterans have an easy time of it because they have experienced knowledge. The games aren't really designed to challenge such players the way they challenge a green player, except for the addition of optional battles.

And hey, if it really bugs you, give them a copy of FFVIII, and the monsters will level right along with them.