I think, though, that some systems can be more demanding on the players than others, and challenging in that sense. To give examples: Prince Valiant and MHRP tend to be relatively light-hearted in the situations they throw up; whereas Burning Wheel (and I suspect Apocalypse World) can be much "heavier"/"deeper" (I'm not sure what the right word is).
Both are fun, but the latter is more likely to leave a participant feeling drained than is the former.
I think some games can, but I don't know if that's a product of the system or the people. My Apocalypse World and Burning Wheel, FATE, Dogs... they all tend to the gritty and streetwise. It's why I want to run The Veil - cyberpunk is a natural genre for my style, and Gibson one of my favourite authors.
So my Prince Valiant might be a shade or two darker than yours, your Apocalypse World lighter than mine. I may push a character real hard at points where you'd ease off, and vice versa. But these are aesthetic choices.
Within that spectrum I maintain that it is important for players to feel relaxed, entertained, at ease. A creative experience can be a draining one, but it can just as easily be euphoric or invigorating.
Personally, I think these emotional responses are more about the authenticity brought by the players than anything system-specific. [MENTION=16586]Campbell[/MENTION] often talks about this quality of play, the integrity of the characterisation. I tend to assume it, but he's right to highlight the importance of it in character-driven play, which is where the challenge to character concept that you asked about is really located.