I try and make challenges for myself. My next one will be:

1. Can't buy anything.
2. Maybe some other rules.

My last one was:
1. One monster ally per fight.
2. No redundant jobs/abilities (i.e. exactly one Thief, one person with Throw, etc.)
3. No battles other than story or unavoidable-random. (i.e. no extra leveling)
4. No damage dealt other than through weapons.

Other than that, I'm not especially weird, although I do try to do everything while playing through, even on the challenges, like steal all the Genji, do the Deep Dungeon, get the secret characters, etc.