I don't know about challenging, since I think there are strong arguments to be made from both sides about why one game might be more challenging than the other, but I agree totally about 8-ball being more interesting, at least to me. There are so many more variables in 8-ball than in 9-ball. Not just which ball to shoot, but how to accomplish break-outs, when to accomplish break-outs, when to shoot for a run out, when to play safe, when to just push balls into places that are good for you and bad for your opponent, etc. Even the simple accomplishment of a run-out, there's more room for creativity in 8-ball than 9-ball, in my opinion.
As for me, 8-ball is the game I prefer to play because I think it's more well-rounded. Whereas 9-ball seems like a game of execution, 8-ball seems like a game of planning, creativity, strategy, and execution to me. But I like 9-ball as a practice tool because it's less forgiving. At my level, it's good for me to play a game that forces me to make a shot and be forced to get on the correct side of the next ball even if that means taking a difficult route, because in 8-ball I sometimes find myself not giving enough attention to how precise my position play is.
-Andrew