One thing you can do as a DM though is plan things out differently.
Don't build encounters based on what level the players are. Rather, build the guards and such based on what they should be in the position they hold.
If your players try to raid a throne room when they're in heroic levels, they should be expecting to encounter guards that are at high paragon levels, maybe even low epic levels.
Make the enemies realistically powerful for their job.
Sure this puts a lot more risk on your players, but they'll learn that they cannot take on anything they want at any level they want.
Course, this style of DMing takes a lot more prep work as you're basically letting the players dictate where the story goes rather than you dictating the story you want to tell. I've found though that players often enjoy this far more than them playing an epic storyline that you came up with.
I know I'm probably not explaining this well enough though. But I have it totally pictured in my mind
See, for one thing, the prep work for this sort of campaign is pretty much you pre-building the sorts of guards, assassins, creatures, ect... your players will encounter in certain parts of your world. After you create all that, then you just make minor tweaks as the game progresses. Now yes, this is a LOT of work for a DM and most wouldn't want to go through with all that work, but I've found it makes the world seem more real and alive.
I personally was going to start building a world of this sort once Dark Sun was released. I don't expect to be ready to DM a Dark Sun campaign for months after the campaign guide is released, hell maybe even a year (depending how busy I am)