Zik, I'm concerned that you seem to have a lot of criteria on HOW you get games, above and beyond what you like/dislike. If you lock out all digital downloads, then you're soon going to find yourself with a lot fewer options. Also, digital downloads are usually quite a bit cheaper.
I'm kinda surprised about you disliking some games for being too easy, yet loving Tales of Symphonia, which is probably the easiest game on your list. I take it that you don't mind easy games if they have action elements? I don't really know about those things, I like easy games. But yeah, if you want HARD games, the Shin Migami games are quite challenging, I gave up on two of them.
Skies of Arcadia is an AMAZING game, IMO, but something tells me you won't go for it, it's very easy. It's all about exploration and expansive travel, which is my central love, and I just love it's style, but it deffinitely isn't challenging.
Ahhhh, one game you might really like, which is pretty challenging, but similarly expansive is Dragon Quest VIII for the PS2. Wonderful characters, great voice acting and dialog, a huge expansive world, very strategic battles, and very long.