Challenge runs that will make your favorite games difficult and enjoyable again

Pokémon Nuzlocke challenge

This is a challenge that can be done with any generation of Pokémon game, which is really neat! A Pokémon Nuzlocke has several base rules:

1. Any Pokémon that faints is "dead" and must be promptly released or deposited in the PC system, never to be used again.
2. The trainer may only catch the first Pokémon encountered in an area. You do not get a second chance if the Pokémon faints or flees. If the wild encounter is a double battle, the trainer may choose which to catch.
3. Players must nickname all their Pokémon.
4. A black out/white out is considered a game over.
5. The player may only use Pokémon they have captured themselves.
6. You may not reset and reload the game when something goes wrong.

Defeat the Elite Four, and victory is yours! There are also a ton of optional rules to make it even more painful, or even mercy rules. There is a pretty comprehensive list at Bulbapedia.