Any challenge is good for you, be it mental or physical. Seriously, challenge yourself. Like, right now.
For the physical side of things, I'm training for a marathon which is admittedly a lot more running than I'm used to, but it's okay. I'm currently in Florida, so I chose a marathon that was convenient to me and my schedule. I run nearly everyday, and have already done my big run of 24.5 miles to break in my body. My next big run will be the marathon itself.
For the mental, I like Kenken, so I go to kenkenpuzzle.com and try to solve a small puzzle as fast as possible. If you've never done Kenken, it's great! I prefer it to Sudoku because it involves basic arithmetic as well as the spatial part of the puzzle solving. In a 6x6 grid, for example, you have to fill in every row and column with the numbers 1 through 6. You'll notice that the grid is also sectioned off with thick bold lines. In each section, you'll see a number and an arithmetic sign. This is shorthand for "using all the hidden numbers in this section AND the given sign, calculate the given number." So if a box of two hidden numbers has "12X" written in it, you can deduce that these numbers are "4,3" or "6,2".
So I'm going to take my own advice and solve a kenken puzzle right now, then go for a run. I hope you do something like it too!