It depends on what you define as "challenging". Are you refering to combat, puzzles, side-quests, or something completley different? If you look at it from the grand-scheme of things, I'd say it's probably the second most difficult game for the consoles, falling closley behind Ocarina of Time and I'd assume Majora's Mask (still haven't completed it, but I'd assume their similar in terms of gameplay). Combat in Skyward Sword is probably the most difficult, however their simplistic puzzle design and hand-holding techniques make it fall behind Ocarina of Time's free exploration and complex puzzles.
The most difficult Zelda game I've ever played was Adventure of Link.