Max Moxxi is fun when you are smart
As probably many people I first approached the latest Borderlands' DLC with a level 50 character and... I didn't last even for 3 waves in the first round. Few shots hit me, I have no shield any more and soon enough I am dead. That was pretty frustrating. Then I looked at the cool guns and the even cooler healing shield I was using and of course they were not at level 50 as my character was. Most of my equipment was around level 40.
I think that is one of the most overlooked Borderlands concepts — when you level up, the bad guys level up with you. The game constantly tries to throw enemies at you which are of the same level (this is not always the case in the main campaign, but it is definitely what is happening all the time in the Underdome Riot). So the only way you get noticeably better then your enemies is through better weapons and shields.
So, for example, you are a level 50 character and you are using a cool SMG that does 4x fire damage and it killed everyone instantly when you only found it (and you were level 43 back then). But the said SMG is only level 40 (it has a level 40 requirement to be more precise). You leveled up since you've found it, but the gun stayed the same, so you deal less and less damage with it, since the enemies are leveling up with you.
It makes all this loot thing in Borderlands even more interesting. Although you have played through the game multiple times now and with different classes, you probably still don't have the best guns and shields as they are really not easy to find.
After trying the Underdome Riot with a level 50 Roland character and constantly dying all the time, I switched to a level 17 Lilith. The difficulty of the DLC immediately got easier for me. I was able to finish 2 rounds and died at the end of round 3 and I have a feeling I will finish all the waves now. It is still quite challenging, but now I have a feeling that it IS possible. Also, the guns that were given to me at the end of the boss fights have become much more interesting. I also was able to buy a pretty jazzy SMG in the gun shop in the Underdome.
I still remained at level 17 while playing through all the waves (because not much if any at all XP is given by the game for killing the enemies in the waves) and I think that's pretty good. The better guns that I get after defeating the waves and bosses make me stronger while keeping the enemies at the same level. With such approach Max Moxxi's arenas are great fun for me and I am looking forward to playing them more, probably trying my other not-50-level-yet characters as well.