You should be able to...

Let [IEQ]X \subseteq \Re ^n[/IEQ] be a convex subset. Let [IEQ]f: X \rightarrow \Re [/IEQ] be a convex function. Prove for any [IEQ]a \in \Re[/IEQ], [IEQ]Z = \left\{x\in X \mid f(x) \leq a  \right\} [/IEQ] is a convex subset of [IEQ]\Re ^n[/IEQ]

Something more interesting, well slightly so, find a counterexample to the converse,

ie.  a function f s.t the condition that for all a { x | F(x)<=a} is convex, but f isn't a convex function

It's not that hard.