Depends a lot on what you're going for. How procedurally generated is your game? How pre-built. A fully pre-made game should have a Level object that can be loaded from some sort of file. Then there is only one Level active at one time, and perhaps different ways to link between them (like in an RPG, a door in one level might lead into another one). In your game, you can just have them lead to one another in a linear fashion as long as the order is stored somewhere.
I would imagine your Level object to be something like this:
public class Level
Pretty much anything that is specific to an individual level should be a member in the Level object. Then you just create the objects somehow (whether through a level editor or a text file or XML or whatever). I usually have the World contain one level, then as the player moves around the World fetches data from the Level to decide how to respond. In your case, that means the World would spawn enemies based on timing, scroll the screen at different speeds, etc.