As always, it depends on the company. Generally you'll be writing software to gather, analyse, and organise data in such a way that it can be presented to a decision maker to aid them in their decision making. Reporting is part of it, but not all of it.
From a purely coding point-of-view, BI isn't usually terribly challenging. You'll mostly be working with established data-mining or visualisation APIs, or applying well-known analysis techniques.
The "good" challenging aspects of the job come from engaging users and understanding busniess processes enough to deliver quality software first time.
The "bad" challenging aspects of the job come from the common situation where you're hit with the quadruple-whammy of demanding users, jobsworth analysts, visionless project managers, and haughty DBAs. That applies in any enterprise software development, though, and I'm sure all the users, analysts, pms, and dbas out there would all love to have a wee rant about all of us navel-gazing software engineers.
If you're prepared to do the legwork, develop a good relationship with your users, and really understand what it is they need, the job can be very satisfying.