If the challenge is worthwhile, I take it up. For example, my friend Rohan challenged me to a bicycle race to the top of a nearby hill. I took it up as it was interesting, and I knew I could do it.
However, when my friend Soham challenged me to jump from the first floor of our building, I refused the challenge, as I knew it was dangerous and I was likely to break some bones. Though Soham scoffed at me, and said that he had already done it, I did not let his ridicule bother me.