No way to do it automagically no

best way i can think of doing it is this:

var destroyOnLoad = false;

function OnLevelWasLoaded(level : int)
{
    if (destroyOnLoad) Destroy(gameObject);
}

that way you get your object destroyed before the first update in the new level

If you're destroying it and it's then being recreated for the level you've just loaded to (I'm assuming this from your comment about destroy and destroyimmediate) why don't you make a reset method for the object that puts it back in its initial state.

That way you could just replace the destruction with a reset and carry on.