If something is challenging, you better bring your "A game." It isn't going to be easy but you will get to test your skills as you push yourself, like completing a challenging crossword puzzle or a challenging hike up a mountain.
Another meaning of challenging is "causing to question values or assumptions," like a challenging movie that makes you re-evaluate your attitude about something. In other words, it challenges what you believe. People sometimes use challenging as a polite — and far more positive — substitute for troublesome or problematic, as in, "This challenging situation will require everyone's patience."