Challenges are optional objectives that can be achieved during your playthrough of the game, ranging from things like killing a certain number of enemies with a certain weapon type, to causing so much damage with the butt slam. In addition to that, each location in the game has challenges that can only be gotten at those locations. This section will contain only details on those location-based challenges, as the other ones are pretty self-explanatory.
So, what does completing challenges do for you? As you finish them, you will earn Badass Ranks and once you get enough of those, you will get a Badass Token. These tokens can be redeemed on the Challenges page for increased stats, such as more Gun Damage or faster Reload Speed. Note that you get a choice of one of five different (there's 14 total) stats to increase, which are randomly chosen. Once you pick one, another five are chosen, with a preference to those you haven't already picked before.
Note: Every area has at least one challenge called Cult of the Vault, which are covered in another section. The only area that doesn't have any extra challenges is Sub-Level 13.
There are many challenges that can only be gotten during certain missions, meaning once you pass up that part and trigger a save, then you won't be able to get another attempt until a subsequent playthrough.