Sports-wise, have challenged myself all my life.
Probably THE most challenging is horse-riding, where you're not only having to 'look after yourself', but also another living, breathing, strong creature!
A very exhilarating challenge!
Personally, had tried to be the best I could in my employment, by studying, & completing not only formal exams, but also daily challenges, in different departments in Company, & within various jobs of one department.
That was challenging enough for me for a 45 year career!
Now I 'relax' by walking, especially bush-walking, tennis, & swimming.
But I also 'hobby study' many subjects in which I'm very interested. Keeps the brain exercised!