The question isn't a difficult one as long as you've put a couple of minutes of thought into it before your interview. The main danger with the question is being unable to think of an appropriate challenge during the interview.
Realize that you can draw from many different kinds of "challenges" when you answer this question. You don't need to have lived a life of adversity or oppression to have a meaningful challenge to discuss.
So your first step is to figure out what challenge you want to share with your interviewer. You would be wise to shy away from anything that is too personal -- you don't want your interviewer to feel uncomfortable. But an appropriate challenge can come in many forms:
- An academic challenge -- Perhaps you found chemistry or English particularly difficult?
- A 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?
The best response will highlight your ability to navigate a challenging situation.