When playing the game first time, I did not finish the challenges, they were too hard for my party.
I beated all turns of the challenge when playing IWD2 next time, although the last battles were won later: when having enough power, I returned to the Ice Temple and destroyed the last creatures (usually Remorhaz, Glabrezu or Frost Giant if I remember correctly, but the list might not be precise since I played IWD2 long time ago)
But there was no final prize! Meanwhile I got better and better things but nothing like 'you have completed the whole challenge etc.' or such...

An IWD2-bug related with this part of the game: sometimes the creatures that could teleport themselves teleported out from the fighting chamber to somewhere else, the party followed them somehow, so the whole thing ended in a stupid situation, the Golem did not let you to continue the challenge etc. Only reload helped. This has happened several times.

Do you remember how it went for you? Was it easy or hard? Did you finish it, and get something huge prize or XP at the end?

It's been a while since I played IWDII, but I think I remember this section - you have to pull some leaves and stuff, to activate a challenge, referred by an Ice Golem?

Anyway, if it is that place, I think I managed about 2/3 of the trials, before turning tale and leaving. I think my party was under-powered for the challenge, or at least I had difficulty completing any more of the combats (no healing potions was probably a drag).
I never bothered going back to finish the rest of the challenges.

Yeah it was that one. When playing the game first time, I acted the same way as you: didn't bother to return.
When playing it second time, I knew that I wouldn't play IWD2 anymore (or at least for a very long time) so I didn't want to leave out anything. Although I was a bit disappointed when there was no final reward for winning all challenges (with my main character -- a Sorcerer -- by the way)

I only through played IWD2 once.
I only through played IWD1 once.
I only through played BG1 once.
I think I played through BG2 twice.
I'm currently playing through PST for the 1st time

I guess I should go back and play the other games again.

Definitely

I played BG1 and BG2 very many times, especially BG1.
I played IWD1 twice as well as IWD2.
...because I had time. Now I don't. I wonder when I can finish PS:T. I'm at the beginning of it (and haven't played it for many months)

Hmm... I remember finishing the Ice Temple Challenges with a dwarven cleric who used a lot of buffing spells and the beast claw spell... strange, it sounds like impossible now, but I did that.

I dont think I ever completed the challenges. My characters were just not hard enough to take down the high level monsters. And when I imported them, I did an HOF game, so I didnt complete them then either. heh