Similar to the Nuzlocke challenge for Pokemon, I am curious if the community over the years had developed a list of challenges or one BIG challenge. I'm certain that such has at least been given thought over the years, and I've placed several challenges on myself just for kicks. Of the ones I've done, these are a few:
Peasant Playthough: Go through the game with everyone's base equipment, and only that equipment.
Dead Dart: At the earliest opportunity, killing Dart and only playing the game with the two other frontline party members.
Legendary Phantom Heroes: By games end, have each of your main/frontline party members equipped with a Legend Casque, Armor of Legend, and Phantom Shield.
Of the three, I must admit to having completed the third challenge almost every time past my 5th playthrough. Nothing says winning like attacks missing you 50%(or more) of the time, and when they don't, taking the least damage possible. Happiest moment with this was when I fought the Scarred Super Virage, and when it died and used Laser Burst, it missed all party members. Flawless victory.