I think the worst game I've ever played regarding skill progression is Oblivion.

Honestly, that game's levelling is completely busted. Basically your class has a couple major and minor skills. You gain skill levels automatically by using them, and when you got enough levels in your class skills, you are supposed to rest and gain a character level.

Almost everything in Oblivion is levelled to match your character's level. Gaining a level only serves three purposes : gaining a very small amount of health, gaining a few points in two stats depending on which skills you've used ... And most of all spawning more, stronger enemies.

Lots of skills in Oblivion are not directly (or absolutely not at all) combat-related. Lots of default classes come with quite a few of them as major or minor skills. And those that don't come with several damage-related and several defence-related skills.

Progressing in non-combat skills, or in too many at once in a "master of none" fashion, will make your game impossible. "Playing well" requires knowing and exploiting this by blocking your level up until you've maxed the right skill. Or even having some of your favourite skills not class skills at all.

This is really not my idea of fun character progression.