challenge at work -- Did you have a boss or co-worker who was difficult to work with?
An athletic challenge -- Did you have to work hard to improve your skills? Did you have a competition that was especially demanding?
A personal tragedy -- Did you lose someone close to you and have a hard time getting over the loss?
A personal goal -- Did you set a goal for yourself that was difficult to accomplish?
An ethical dilemma -- Were you put in a position where none of your options were attractive?
Keep in mind the purpose of this type of question. The interviewer isn't necessarily interested in hearing about some horror story from your past. Rather, the question is designed to help the interviewer discover what type of problem solver you are. College is all about developing critical thinking and problem solving skills, so the interviewer wants to see that you have promise in these areas. When confronted with a challenge, how do you respond?
The best response will highlight your ability to navigate a challenging situation.