Maybe not necessarily challenges, but I have some weird OCD quirks that inhibit me when I play games:

I always try to keep my loadouts in Call of Duty with an equal distribution of the perks, weapon classes, and equipment in the games. It's great for experiencing the insane variety the games always have, but it means I'm only playing with my best personal playstyle only 1/5 of the time.

In Final Fantasy XII I've tried to stick close to some idea of jobs that I have in my head, some of the time at the expense of better configurations.

On one playthrough of pokemon I tried to generally keep all pokemon at the same level as I went... horrible idea.