I see self-created challenges as an attempt to add spice and flavor into games, usually after you've long since gotten bored of the most efficient leveling path. Some players think up these challenges to add a slice of sandbox-style goals into an otherwise theme park-oriented title.
Right now, one of my characters in Lord of the Rings Online is attempting to do every single solo quest in each zone before going elsewhere. It's challenging to slow myself down and get over that desire to progress and go for the big XP rewards, but it's a ton of fun so far as well.
So, big or small, what challenges have you added to your game?
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