The ones I do are
Green Hill Classic Challenge 2 (second one from the left on the lowest platform)
Chemical Plant Classic Challenge 5 (the one at the top)
Sky Sanctuary Modern Challenge 3
Speed Highway Modern Challenge 4 (but 1 is easier and barely any slower, especially if you don't know the glitches)
City Escape Classic Challenge 2 (take the moving platform, jump off at the middle, go all the way left and jump to the top; this one unlocks thunder shield)
Seaside Hill Modern Challenge 5 (first one on the right after you take all of the moving platforms in the City Escape hub)
Crisis City Classic Challenge 2 (flame shield)
Rooftop Run Modern Challenge 4 (endless boost)
Planet Wisp Classic Challenge 4 (this is the Blaze one, shortest challenge in the game)