Interesting question... I thought about this before, as well. I don't think you can be a challenge forever - unless you're never planning on falling in love, or having a meaningful relationship with someone. No one is going to chase you forever... They just want to feel like they EARNED you; there has to be a prize. They're going to get tired of it after a while. You can only dangle the carrot for so long before they realize its futile. I did this with girls, as well. Waste of time to chase someone forever.
I think it becomes more of a balancing act than being a challenge after a while. You don't pull a 180, and start giving 100% all the time, but you don't necessarily hold back as much either.
Truth is, infatuation is going to wear off eventually. That's when challenge is key, and attraction is at its peak. Once that fades - there's not much you can do about that. And really, thats the true test on if they really love you, or are simply being excited by the emotions and thrill of the chase. If someone loses interest once they find out the real you - they're not worth keeping in the first place. It's pointless to be a challenge forever just to keep someone.
That doesn't mean you give your all, though. Nor does it mean you don't stand up for yourself, and let her get away with anything. That's more into chump territory than being a challenge. You should always act like a man, and stick to your beliefs; put your foot down; not allow yourself to be walked all over; etc. Just because you love someone - doesn't mean you have to stop respecting yourself.