Ok, here's one of the oldest questions ever: Why does it have to be so tough? Yes, I know that they say that what doesn't kill you makes you stronger, but why do we have things that almost kill us, just to "make us stronger". Surely, G-d, in His infinite kindness could find softer, sweeter ways to send us blessings or means of personal growth?
All those tests and challenges we face in life are called "nisyonos" in Judaism. Some are the obstacles that interfere with us living a happy, comfortable life. Others are the challenges that stymie our efforts to become better people; things like temptation or character flaws.
Before living on earth, our souls didn't have to face off with the nonsense that we deal with daily down here. Our souls basked in Divine radiance and generally led a happy, spiritually aware life. Jewish mysticism teaches us, though, that the Divine access our souls enjoy is limited. It belongs to the hieararchy of spiritual flow, where each level of existence gets a calibrated dose of spiritual light- and nothing more. True, in heaven there's more light than in Joburg, but it's a fixed rate of energy that can't be changed.
Living as humans (with all our foibles), however, presents both challenge and opportunity. The challenges result from the lack of Divine awareness in our world. But, G-d undertakes to help us with our spiritual progress. In heaven, where spiritual growth comes easy, He doesn't invest too much to help us, because we don't need much help.
On the daily uphill of trying to be a decent person in a less than decent world, G-d has to "pull out" extra spiritual boosters to help us along. While in Heaven, the spiritual backup available is predermined and static, on Earth, it is relative to our efforts and can range way up, beyond what's available in heaven.
Simply put, G-d throws challenges at us, because they force us to dig deep and uncover resources that we wouldn't have known we have. When we dig within, He then boosts us with some hidden resources of His own, allowing us to access Divine energy that's way over our pray-grade. G-d doesn't send us challenges to stump us, but to spur us on.