I love RPG's but time is the biggest challenge. Getting a group that can dedicate the time on a regular basis is the biggest challenge. I've kicked off 2-3 games over the last 5 years or so and each has eventually fallen to Tempus Demonicus.
I loved Rifts right up to the day when I got a response to an email to the authors about correcting the game balance. You know, 1st book classes were SDC and then along come American Indian Shamans with MDC bodies ... anyway, the response basically boiled down to buy more product. My books got sold to Valhalla games shortly after.
Infact most of my RPG's went to Valhalla (that sounds cool) when I sold my soul to GW. I've since updated DnD to 4th and have the Star Wars RPG, and haven't had the heart to get rid of my TMNT 1st edition DnD books.
Shortlist of fond memories by system:
RIFTS: Glitterboy opening fire in a bar fight... kms of destruction
TMNT: Ninja Polar Bears!
WHFRPG: Troll Slayer killing a Beast of Nurgle (via some extremely lucky crits IIRC) before it got to move. What have you got to do to kill yourself around here?!
SHADOWRUN: Blowing a Gang Bosses head clean off with one shot from a boat on the Swan river under the Narrow's Bridge! That character was wired and liked to save ammo.
TRAVELLER: What do you mean my characters dead, we haven't finished character generation yet!
ROBOTECH: Motorcycles that transform into armor with missiles... lots of em
DnD: As a DM watching players decide a dungeon door was THE most versatile item in their arsenal. Watching players spent an hour pondering a bricked up doorway and resorting to pulling the bricks out, and then digging a tunnel... all in a spot on the map where I'd drawn a door, and forgotten to put a room behind it
... but by far my favorite elements of RPG's was letting the game shaper your character rather than deciding up from by X level I will be Y. Something I think the newer editions of the game almost force you to do. If you want to pick up a specific prestige class, the requirements can drive you down a cookie-cutter path of development. Kind of makes me a Games developers nightmare, because I really only ever pickup the core books, everything else we make up as we go.