I prefer level 3 to 8. When you reach 3rd. level you have a little more buffer for survival than on the first two levels, and it is possible to play (and as a DM plan) more dangerous encounters without anyone dying from just one lucky dieroll.
When you progress upwards in level from 3rd, every level counts, and you grow quite rapidly in power. While you are starting to see some specialization, none of the characters have still reached the skill level where they can dominate a single type of encounter (e.g. the thielf will not necessarily dominate all skill rolls, the wizard will not solve most probelmss with magic a.s.o).
When you hit level 9/10, you abilities start to overhelm you. Spell casters have lots of spells, everybody has oodles of different magic items - and you start to forget special abilities, relvant feats, spells, items a.s.o. Keeping track of everything distracts the players from roleplaying, and combats quite often degenerates to flipping through oodles of rules for all the differnets spells and abilities.
In addition the higher level spells include a few save-or-die variants, making encounters more random. IMHO that is less fun than the more drawn-out encounters you get on level 3-8.
Not that a 16th level romp can be fun from time to time, but in general I prefer lower levels.
.Ziggy