I had a similar experience with Jak and Daxter, as far as "making your own challenge" goes. After beating the game twice within three days, getting 100% completion on both games, I decided I needed to get more from my $20; so I started a game and said "maybe I can beat the game without collecting a single Precursor Orb". The orbs, for those who never played it, are roughly equivalent to the coins in Mario as far as frequency. They don't give you a 1-up when you get 100, but they have the same "you practically trip over them" commonality to them.
Turns-out... I couldn't beat the game without getting any Orbs, but I got pretty damn close [http://www.gamefaqs.com/ps2/516509-jak-and-daxter-the-precursor-legacy/faqs/31569]. Makes me wonder if anyone from Naughty Dog ever caught wind of that challenge, and what they thought of it.