Game Design gives us Difficulty Curves and we should use them

Game designers use difficulty curves to make sure a player is challenged, but not overwhelmed, interested, and not bored. A difficulty curve progresses throughout a game, matching the player's level of skill as it progresses.

As a simple example, your first mission might be conquered by using walking, the second by using walking and punching, the third, by walking, punching, and sword fighting, and so on. Each skill is harder to master and more fun to use.

Although, we don't tend to set our own goals this way. We tend to work towards the end goals from the start. Game design might give us that end goal (Save the princess), but give us the missions along the way (Find a sword) to progress towards that goal in a way that ensures we don't become too overwhelmed or bored and give up.