Still, you get nothing after completing all challenges.
Also, you can complete them even playing Unlimited Weapons mode, so that kinda sad.
They're not too hard.
"I wanna be the human" isn't like Mr. Perfect. You have only 1 hp, energy doesn't refill, but you have unlimited lives and tries. The most difficult were Dr. Mad's 1 stage bosses (I'm trying to kill the silver one, but you still have to keep eye on both of them) and Dr. Mad himself.
"Only One" wasn't difficult too. I completed it during my third try.
Overall, this game is very fun, it has replay value (Owata & Unlimited Weapons mode, challenges, rankings), very good soundtrack and very nice gameplay.