The 3 main ones I've had from my current game is:
Quest: Horse Whisperer, you are challenged to become more akin to horses.
You are challenged to build 11 stables before you reach the renaissance period or before another enemy beats you to it.
When you do it you either get:
+1 Terrain Movement (I THINK, cant rememeber 100%) to all future mounted units.
16 Horse Archers (I've really managed to do this early, so they're still a decent enough unit to pick off the weaker civs around me)
"You have learned to make your horses work better on the farm" +1 food to stables.
Second one as mentioned was a great artist has been discovered, either have 100% Culture in this city, or have him join as a free Great Artist.
Third one isn't great, but its a "you had a great deer hunting season" event that I keep getting every so often for the same city, pumping up its population slowly.
Nothing world changing.