One of the Challenges I didn't do at all last time was the Bandit Challenges. Every single one of these requires you to do actions that lower Honor, and I was trying to keep my Arthur's honor "pure". This time around I'm a bit less selective, and it has already shown in variations in some NPC dialogue.
That said, I've found it is generally easy to do Bandit Challenges without actually incurring an expensive bounty. You have to be selective and thoughtful in how you do them, but most of them, there's a way. Some might not be possible to do subtly; for example, the 10th Bandit Challenge requires you to complete 5 train robberies -- I haven't gotten there yet, but it's food for though how to do it.
I'm also finding there to be annoyances with how Challenges unlock. For example, the Survivalist 1 challenge is to catch 3 bluegill. Until you unlock the fishing rod, which is late in Chapter 2, you can't even start this challenge. Similarly, Gambler 1 challenge is to win 5 hands of poker; but until you rescue Reverend Swanson poker games do not unlock anywhere on the map. Meanwhile, I'm already on Herbalist 9 ("Pick one of all 43 species of herbs") and Horseman 9 ("Ride from Van Horn to Blackwater in less than 17 minutes without touching water"). Both of those are tricky to do prior to the Epilogue. Prior to the Epilogue, Arthur Morgan has a "Wanted: Dead or Alive" status in the state of New Austin and parts of West Elizabeth due to events prior to the game, and both 5 species of herbs and the city of Blackwater can be found in this region. So as soon as you enter, Pinkerton agents start to spawn and shoot at you. Gonna be interesting, I don't remember how I finished Horseman 9 previously; Herbalist 9 I never completed in the previous run, deciding to do it in the Epilogue.