Ah, leveling! As an old school D&D player and long time dungeon master I can safely say the most common utterance after the completion of a hub of the story, end of a major encounter, or just about any given session is "Did we level?" People who get into thier characters love to see them progress when they have endured and triumphed.
Of course, as a DM it has been my obligation to impishly cackle "no" and feast upon thier salty, salty tears as I savor thier agony...unless they did level...which is just as gratifying as they become as giddy as children on Christmas Eve and plunge into thier books and charactersheets with dice and pencils in hand.
As for MMO's, I dont get any elation from leveling. I do enjoy seeing my friends level though.