The observation that different bit positions in a constellation typically have different error protection capabilities is utilized to design unequal error protection (UEP) with multilevel coding (MLC) in AWGN and fading channels. Both parallel independent decoding (PID) and multi-stage decoding (MSD) are considered. The design tool in this work is the symmetric information rate (SIR), which is well suited to the use of capacity-approaching component codes. This paper first formulates the UEP design as a utility maximization problem, and then considers some optimal UEP designs, including mapping, non-uniform constellation, bits grouping, and decoding order in MSD. Several exemplary utility functions are studied, corresponding to different application scenarios. The UEP design is especially beneficial in a slow fading channel, as it allows for a gradual performance degradation with the decreasing receive SNR. Average rate advantage is shown to quantify this gain.