Is there a leveling penaltiy in Skyrim like there was in Oblivion?

No matter which skills you level, you get the same attribute choice: 10 magicka, 10 health or 10 stamina + 5 carry capacity.

If you only level (for example) Alchemy, you'll get some levels and the attribute and perk points that come with them. Without other skills, you might be very restricted in how you may spend those perks - or you can save them until you get enough skill to buy the perk you want. Without any combat skills, the world in general might be a scary place - however there are still low level bandits for you to kick around to get combat skills.

No, there is nothing to worry about when it comes to what skills contribute to your level. Skyrim was designed with all the criticism of Oblivion taken into account, and is much more fluid and forgiving.