Just finished Melvelous the Magnificent, and lo and behold, my characters leveled up, but didn't gain any HP. They gained a new minor power token each, but no HP. Again, I'd post a screenshot, but I have no idea how to take one. Scratch that, they just had their HP modified before the level up took place. Still, a little disconcerting.
Some characters just don't gain HP on certain levels when they level up. Although I've only played Wizards through till the end of the campeign, but if they gained HP on every level then they should have a lot more than they currently do (and would probably be too much for a wizard)
As Unlucky Scarecrow said, HP gain is dependent on both your race and your class. Only Dwarf Warriors gain HP at every single level. There are complete tables over at the Card Hunter Wiki.
