The idea of challenging yourself is one of the pillars of personal development.

By that, you grow as a person and you learn to trust yourself more, which greatly increases your likelihood of having happiness and success in life.

The best ones in my view are the ones that meet 3 fundamental conditions:

1. They take you out of your comfort zone without putting you in serious danger
2. They provide you an intense, accelerated learning experience
3. They help you develop skills and attitude...

This stimulates your social skills to grow. 

You learn how to talk with all sorts of people and to keep conversations flowing. You  also get better at reading social cues, and you become more skilled at navigating complex social situations.

Travelling takes you out of the environment you’re familiar with, and throws you into the unfamiliar. 

You get exposed to new places, new cultures, new customs, and of course, new people. And in this sea of novelty, you adapt and you grow.

It's a good way to push yourself out of your comfort zone.

Through regular exercise, not only that you train your body and you develop your strength, speed, endurance and so on, but you also train your mind. You develop willpower, perseverance, determination  and confidence. 

By setting and pursing such goals, you will be forced to develop as a person.

You’ll need to study, to develop your expertise in your field, to innovate and to take calculated risks. All of this implies unbelievable self-growth.