Here's some challenge ideas where I'll leave the game speed and difficulty setting up to you:
1. (Use the Really Advanced Setup mod) Give yourself a Zeppelin at the start of the game. Make it so that you are against 7 warmonger civs who are on the same team, and you are always at war with them. Choose either small Pangea or small Oval map. Have no city-states.
2. You have to win through domination before entering the renaissance era. Put raging barbarians. Choose either huge Pangea or huge Oval map. Have 6 AI civs and no city-states.
3. (Use the Really Advanced Setup mod) Use any standard size map. Have only 2 teams. Your team has 4 random civs and the other team has 5 random civs. Make it so you are always at war. You have to win though domination before entering the Industrial Era. For the enemy civs, give one of them a Longbowman, give one of them a Chu-Ko-Nu, give one of them a H'wacha, give one of them a Samurai, and give the last enemy civ an Atomic Bomb.