Everyone has challenges just give it some thought. There has to be a time when you were spread a bit thin or things were going poorly. It may be something to do with work, school, family or friends. I personally chose when my Grandfather was dying with cancer and my parents divorce as my two challenging times. I would try NOT to say that you haven't had any because they may look at that as a negative because they don't know how you will handle a challenging time. I truly believe if you look hard enough you can some up with something. It doesn't have to be earth shattering or anything, maybe it was something that just weighed heavily on you and you can talk about how you handled it, if you would do anything differently if it happened again, and what you learned from the experience.
In my interview we actually discussed how I totally freaked the 1st time I got a "B" in college and thought my life was over. I discussed how totally absurd my reaction was but my interviewer actually said that it is a very common problem esp among med school applicants and she said that the real test is can they get over it and come back or do they truly let it ruin their concentration and commitment and everything is downhill from there. She actually said that they don't want applicants that have never experienced failure or challenging situations.
