It's funny, Old World Blues has a perk that lets you cap your level and xp (starting at level 30), but like Synch, most of us will have our skills maxed out at 40. I haven't hit level 40 yet because I can't stop making new couriers, but I'm sticking with my current one (mercenary/caravan guard/cowboy hat and throwing hatchet-sporting badass) until the bitter end, so I'll be there in a day or two. I'm somewhere between 25 and 30 right now.