I've found perma-death runs a lot of fun, the game is totally different when dying equals end of the run. Then there are various challenge runs, or as @John above shows, invent your own.

I'm thinking of doing a Roman-esque 'March of Civilization' run where I'll do my best to turn Valheim into a cross between a tower defense game and '"Sherman's March" (referring to US Civil War not tanks!) advances followed up by building roads, bridges, and small elevated forts along my paths of advance.

Really depends on what you find fun. Maybe you'd find a 'Build Valheim's tallest diving board challenge' fun instead of combat related challenges?