I usually recommend to go for the challenge that you think is the most interesting/fun instead of directly easiest. Champions add quite a bit of variety to combat, badder bosses make interesting tweaks to bosses, FIMA forces you into a playstyle where you avoid taking hits as best as you can, pharmacophobia forces you to proactively avoid bad situations by taking away the easy solution to all problems, etc. Choose whatever you like

I’d say you can’t go terribly wrong with choosing a first challenge, even the hardest challenge (pharmacophobia) doesn’t make the game terribly difficult if it’s the only thing you enabled (it was my first challenge even), so don’t worry