What is challenging to you? High chance of failure? Is a 'game-over' the only threat? Cuz those are pretty rare. Or is not accomplishing your goals a failure? If so, then maybe have harder more complicated goals.

Personally I'm doing a Bohemia run. First goal was to get to Dynasty of Many Crowns while remaining a duke and staying Slavic. Most who play this game couldn't do that. Second goal is to get the AI to reform Slavic Paganism. Again pretty hard to do - no three holy sites are in the same empire. Third thing I am gonna do is revive a dead religion and see how much of the world I can convert. And then if there is time left I will conquer.

Only the conquering is easy, everything else has a pretty high chance of failure. If you want the game to be hard, set harder goals.