It's kind of hard to tell when they are called by THE RULES, because it's kind of a "when GM feels there should be one" kind of thing. To give practical examples one old, old adventure I run in the past had a Skill Challenge when PCs met with an undead knight that was not an evil creature but tad paranoid on account of being stuck for ages in monster infested ruins, and involved calming trying to calm him down to be able to talk to him rather than fight. So a kind of thing that could as well be done with some RP and/or a Diplomacy roll.
The skill challenge coming up in this adventure that I mentioned was supposed to represent the "trials" of the non-monster kind (bad weather mostly) faced during the journey. It also is quite badly written IMHO *and* failing rolls on most of it resulted in loss of healing surges which is flat-out dumb.
And yeah you're right those things can be handled otherwise with a bit of creativity - that's kind of the point that I want to bypass this shit wherever I can in favour of letting it resolve via plot, random encounters or straight up skill checks. I just figured that I'd be a) transparent on me deciding to go that way about it and b) kind of show off/explain before defenstrating that part of the rules, seeing as this game is a bit of a learnign experience for about half of the party.