Challenging yourself is just about the most fun you can have for free. All you do is pick a goal--even a teeny one works--and then set about doing it. It works best when it's your little secret, since telling someone else puts undue pressure on you to come through, which eventually causes you to fail. (Don't ask me why, it just does.) But if you quietly chip away at it while nobody knows, when you accomplish it, it's the best feeling in the world.
Reaching any goal is easy. All you have to do is work towards it every day, in some way. This sage advice was given to me long ago by a previous employer. I confided in him that I wanted to move to Chicago and find a job there, even though I knew not a soul in that city. I was living in DC at the time and was up for a change. My boss, also a friend, advised, "Just do something every day related to it, whether it's a phone call or email or letter or visit, and it will happen." He was right, and eventually I did find a job in Chicago. (I found a better one in California and so never went to Chicago, but still, you get the point.)
This trick works with anything: Losing weight, painting a house, getting in shape, running a 10K, learning to make chocolate mousse--you name it. Just pick something you want and go for it, and go for it every day. Seeing your goal get closer, even in tiny increments, is better than any therapy, and much better than key lime pie. The best part is when people start asking what's making you so happy, but remember--it's your little secret.