Beyond stealth challenges when they're a part of the game [Deus Ex, Dishonoured], I don't do self imposed challenges. Mainly because it doesn't really do anything to help the game. If I've got to stop playing the game to enjoy it [I.E: Not using certain types of weapons in FPS, not using certain skill trees in RPGs - ect.], then the designers have done something wrong. Well, not necessarily, it could just be that the game isn't for me as well.
The closest I'd come is my innate need to hoard all the high-end ammo in games like Bioshock and not use it. I'll only ever use the pistol and machine gun for 70% of the game, shotgun for 20%. Things like Grenade Launchers, traps [In 2], special ammo types, that flamethrower thingy and even to a lesser extent plasmids are just left unused whilst I hoard all the ammo I can for them. This has the flipside of making the last levels in the games a piss-easy cakewalk. I have enough ammo in all of the guns to use purely them for the entire level/s, and they 1-3 shot everything so shits and giggles for me.