Oh, I like challenging sandbox play, myself.
It's keeping complex, busy train networks running smoothly that makes me happy. I have tried to make the economy challenging on occasion but, playing without patches, it's just trivial. Select the bottom entry of the graphs menu, see what pays well with slow trains. Make a modest-length line with that cargo to make sure you have some income, then start building a longer one for real income. Do it right and you'll be clear of debt in 2-5 years even with maximum interest and no attention to subsidies. This has worked with every climate/GRF I've tried, although I perhaps haven't tried all that many GRFs. I do recall going back into debt with some GRFs, but I always reach the money-no-object phase of the game quite soon. These days, I just use NUTS for most games. It's even less of a challenge economically, but it's designed for complex busy networks. It's also free of the annoyance factor of odd-length wagons.
I recently started a game on a 64x4096 size map, making long main lines which are going to be a challenge to keep running smoothly. I chose that size because I wanted the long distance but didn't want the huge save files of my one 2048x2048 game, nor the pause for auto-save. 64x4096 = 512x512 in size, but there's so much more distance. There's also the challenge of not having much width to go around things. There's one tiny thing wrong with it: windows open in the top left, and my line goes top left to bottom right. 4096x64 would solve that.
Edit: I say "complex, busy", but I don't mean as much as the #openttdcoop players. I can't get my head around all their tricks.