You have to pass the bill in the dark assembly to unlock the Cave of Ordeals.
Then you have to reach the third level of the Cave of Ordeals. That place has 9 powerful enemies, and all the spaces on the level are geopanels that give +100% experience(this means lots of EXP). They have lots of defense though, so level up a few weapons and fuse lots of gladiators or whatever citizen boosts magic power in them to be able to do good damage on the enemies.
My other leveling stage was the first stage in the final chapter, there's 3 or 4 vampires on +50% experience geopanels, which levels not too bad until you get to Cave of Ordeals 3.
Little guide to powerleveling which might be useful:
GameFAQs: Disgaea: Hour of Darkness (PS2) Power Levelling Guide by IanMustela
Also, a level 300 Statistician in your equipement gives you a +300% Experience bonus, which is pretty badass.