Completing the Travel Journal in One Way Heroics Plus was a pretty good one recently-ish. To elaborate, for that, you have to play as the Tourist class. The tourist starts with Level 0 in all stats, can't bring any items from past playthroughs, and completing the travel journal in any decent amount of time involves you getting up close to enemies and using a turn to write in your journal.
It's a pretty hard thing and requires some luck, but you get a special credits sequence giving some neat secrets for it!
...Too bad I have to do it again because I did it on the Playism version and now that it's on Steam, I want those achievements...
Another thing I'm kinda proud of was me playing Mega Man X5 for the first time recently and I wanted to make it a Zero only run (aside from using X to get secrets.) Unfortunately for me, I accidentally started the game on the highest difficulty, Xtreme mode! And then two friends egged me on to keep with it.
It was hard and I died a lot, especially since Zero doesn't get damage reducing armor until the final stages, but I managed to pull through to the end!