Bangai-O Spirits is nothing but one big challenge mode.
The challenge modes in Bionic Commando: Rearmed rock.
The challenge mode in Mega Man Powered Up forced me to keep that UMD in my psp for a good 2 months without taking it out.
The VR shit in Metal Gear Solid 2: Substance makes my panties wet.
Challenge mode is great because it can turn traditional console game design in to more arcade-esque game design. I think they're refreshing, especially if they're on portable sytems. The great thing about challenge modes is that typically you can pick any challenge in order, but the levels are so bite sized that completing them isn't an ordeal, but at the same time, not always an easy task.
What are some other games that feature awesome challenge modes or are nothing but one big challenge mode? I know Metal Gear Solid VR Missions is one, but while I have it, I haven't played it. :'(