Game designers and researchers agree that the main motivation for starting playing a game is challenge. It is only a small step to say that when the game becomes too difficult, players can become frustrated and quit. While extensive work shows that challenge is central in player enjoyment, its influence on player retention has received little attention. Establishing this influence is difficult for several reasons: (i) Definitions of challenge tend to be game- or genre-specific. (ii) Measuring retention accurately requires real-life data, which is often hard to access. (iii) Challenge can be intertwined with other factors, such as social interactions in multi-player games. Addressing these three limitations requires a mixed-method, holistic, and cross-game approach paying close attention to the game mechanics. Therefore, we use a diverse mix of data sources, ranging from interviews to online questionnaires and telemetry logs, to explore player behavior in five games: Ragnarok Online, World of Warcraft, Forza Motorsport 4, Jelly Splash, and an undisclosed commercial mobile game. This work provides empirical evidence that challenge does influence retention, and that many contextual factors, namely player segments, social interactions, time, and money, nuance and mediate this influence. These findings may help game developers make better games, expand our knowledge of challenge, retention, and their relationship, and improve the bottom-line of game companies by making games more engaging and players stay longer. [The dissertation citations contained here are published with the permission of ProQuest LLC. Further reproduction is prohibited without permission. Copies of dissertations may be obtained by Telephone (800) 1-800-521-0600. Web page: http://www.proquest.com/en-US/products/dissertations/individuals.shtml.]