What Godliest said but the chalenge isnt impossible or just to piss the player off. Something that can have a balance of entertainment andchalenge. Personally i like the stradegy in some too. Like small puzzels. And a game where how long you take doesnt matter.
Godliest
A challenge. Something that you can feel proud of once you've completed it. Interesting/new concepts can also be fun because they are something new, something you've not seen before.
Xeptic
Working towards the reward should indeed be a fun challenge for the player, feeling proud of your accomplishment is a reward in its own I suppose. Innovative concepts is something I haven't thought of, but it's certainly true. Problem is if the fun will last once the innovativeness wars off *cough*Wii*cough*.