Challenges are instanced tasks that test a particular ability, weapon, or skill. Getting any kind of medal in a Challenge leads to material rewards, with the best rewards coming from getting Gold. Challenges are unlocked through main story progress. Snagging Gold medals on Challenges as they become available to you goes a long way toward getting you enough Overcharge to buy new guns from Two Hat Jack whenever he has them. Lots of costume items are also reserved as Gold prizes. Finally, if you get better medals (Silver or Gold) before getting lesser medals, you’ll get the lesser prizes too. Also note that getting Gold for a previously completed Challenge will result in a cash reward only.