THESE are my favorite ones

FFI- single character (any enemy that can paralyze you, means you're screwed)
FFII- Run from all regular battles, don't buy anything
FFIII- Play mini the entire time.... basically magic only and considering it's so limited
FFIV- All the stuff that's been said, plus all attackers must be in back row, and magic users in front row
FFV- No jobs
FFVI- Beating the game with the 3 characters
FFVII- Play with one character til you get the counter attack materia, that is the only materia you can use, you may not use the attack command after you get the materia!
FFVIII- No GFs so no junctions

Those are the only games I've really done challenges

THE JACKEL