This chapter is an extended and strongly modified version of my texts (Wierzbicki 2010, 2011). I am addressing first the issue of impossibility and at the same time necessity of forecasting future, then the methodology of analyzing challenges and its relations to known methods of strategic analysis. I suggest that the analysis of challenges should start with the analysis of threats, weaknesses, opportunities and strengths, leading to suggested actions. It is illustrated by a short analysis of a list of global threats, resulting in an identification of four challenges: the challenge of sustainable development, the challenge of new global order, the challenge of informational revolution, and the challenge of biotechnical revolution. A shortened analysis of these challenges is also presented. Finally, challenges related to the development strategy of Poland in next decades are commented as an example.