In past games, you would gain EXP from killing enemies, hunting, and taking on missions so that you could level up and unlock abilities. Gone is EXP, now replaced by perks. By doing various challenges, you gain perks that can be used to unlock various skills and upgrades, like lockpicking, using parachutes and wing suits, and holding an additional gun or two. It helps that most challenges are kept to killing an enemy with a certain gun, stealth killing, and so on. It's simple, easy, and a fun way to help you diversify your play style.