A normal perma death run is a challenge in and of itself. And I would guess few have actually done it (no mods, no cheats, just normal game mechanics).

Personally I have found the most challenging play style is a perma death, no boss run.

BUT you will get stalled in the Plains (if you can get that far) playing this way as you need the tears from the drake boss to upgrade any farther. So the best you can get is silver gear.
Still it is enjoyable to see how far you can get this way. Troll mining for the win!

Other challenges that were fun (always perma death) were trying to make it through the game using no bow (spear for ranged and yes, drake boss will land and can be melee'd) or only using one particular type of weapon all the way through (i.e. only slash, only pierce, only blunt, etc.)

In general, at least for me, perma death runs tend to be long games in 'game days' as I play a bit more cautiously than I would otherwise.

But lots of self imposed limitations you can think up.