A couple ideas:
1. A fighter's god brings him to a cavemouth and tells him that there is something in the cave he needs. The fighter must go in and fetch it from the dragon that guards it... In other words, something that the PC has no hope of defeating alone. If he argues that he can't do it, the god should seem disappointed and tell him it must be so. If he continues to argue, he fails the test, which is one of loyalty and courage. If the fighter does enter and fight the dragon, play it normally, but when it seems the fighter will lose you can stop the fight and the god says "well done" and the fighter is returned to where he was.
2. A cleric's god brings him to a trail in a dark wood and tell him a traveler is coming who has something the god needs. The cleric must get it for him and then call his name and he will reappear. The god then disappears. Some time thereafter a drow merchant and his bodyguard (troll, ogre or another drow, as appropriate) come down the trail. This should be a fight the PC believes he can win, though it should also appear dangerous to him. The point is, however, that as DM you should have the god say the PC should "acquire" the item for him and you should describe the drow in such a way that you can say, "he appears to be a merchant." The test is whether the cleric will recognize that this is a dangerous situation, that he needs only acquire the item and forego combat in favor of bargaining for the item. The drow should initially decline to give up the item, but if the cleric tries to bargain for it, the drow will ask for some visible magic item the player possesses. If the player chooses to fight, he should lose, his god will return and tell him he has failed and send him back to where he was. If the player uses wisdom (avoiding combat when it is unnecessary and possibly dangerous), the god will return him to where he was (he will also still have any item he used in trade returned to him).
3. The avatar of the PC's god appears and tells him that it has been decided he is not worthy to take on the challenge. The god thanks him for all he has done, but tells him there are others who must take on the burden. If possible, think of a couple of things the PC has done that the god may not entirely approve of. The test is to see if the player is willing to stand up for himself and make *good* arguments about why s/he is up to the challenge. Gods don't like quitters.
In terms of failure ending the campaign... I don't see that that is necessary. Instead of the gods saying, "you failed, goodbye" they could tell PCs who fail "you still have much to learn" and when the PCs are returned to where they were about to reclaim their legacy (the armor or weapon), it will be gone and they will have to seek it again. Or do without it.