(1) Horseshoes: It chas been already discussed. Yes, there are 5 horseshoes in Harmondale.
(2) Challenges: Note that the challenge is selected randomly when you the area resets. Only the type (game, contest, test, challenge) is always the same. Therefore:
- When you are multilooting the dragon, collect a set of stat boosting items equipable by all your guys (if you are playing solo, your choice is wider), which can boost every stat of every of your guys to 50 at least.
- Save the game before you enter a new area with a challenge for the first time. Enter the area and if it contains a challenge, which you can win then continue, otherwise restart.
(3) Lamps: Sure lamps are in Bracada Desert, in the Land of Giants, and on Evermorn Island, and in Deyja. You can also find lamps in Erathia sometimes. You can see whether you were lucky: one lamp in on the path from Deyja to Erathia City. When exactly are the lamps in Erathia I don't know.
(4) The well in Nighon - 2 skill points for everybody.
(5) The well of wishes in Land of Giants - trucks of skill points. Well, the well *isn't* bottomless 
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