If a brother gives me a challenge do I have to take that challenge? If I choose not to, am I being rebellious? Or what if I disagree with a leader?
It probably depends on what the brother is challenging you to do, but the general answer is "no." We help each other in times of need (James 2:15-16). We gently rebuke brethren when they are in sin (Galatians 6:1). When a brother strongly wants something done a particular way, and it is not a sin, we give way (Ephesians 5:21), but it should be noted that this is a two-way street and not a right of a few to demand everyone else to yield to them.
In regards to a leader in the church, their job is to make sure you stay faithful to Christ. If they are doing their job, then we should be happy to listen to them. "Obey your leaders and submit to them, for they keep watch over your souls as those who will give an account. Let them do this with joy and not with grief, for this would be unprofitable for you" (Hebrews 13:17). Yet again, this doesn't mean they have the authority to control every aspect of our lives. They may warn you that dating a non-Christian is dangerous, but they cannot tell you who you can or cannot date since God allows people to marry as they please, even if their choices maybe unwise (I Corinthians 7:12-15). A leader in the church cannot tell you what car to buy or what brand of clothing to wear. But they may warn you that some clothing is not modest (I Timothy 2:9-10), or tell you that some words are improper (Ephesians 5:3-7), or that some behaviors are off-limits (I Corinthians 7:1; Romans 7:13-14).
If a leader is exceeding his authority, politely ask upon what passage is he basing his demand. If all he has is "obey your leaders," then you know he is just trying to enforce his whims and that is not something God told him to do.
"His watchmen are blind, all of them know nothing. All of them are mute dogs unable to bark, dreamers lying down, who love to slumber; and the dogs are greedy, they are not satisfied. And they are shepherds who have no understanding; they have all turned to their own way, each one to his unjust gain, to the last one" (Isaiah 56:10-11).
"Therefore, I exhort the elders among you, as your fellow elder and witness of the sufferings of Christ, and a partaker also of the glory that is to be revealed, shepherd the flock of God among you, exercising oversight not under compulsion, but voluntarily, according to the will of God; and not for sordid gain, but with eagerness; nor yet as lording it over those allotted to your charge, but proving to be examples to the flock" (I Peter 5:1-3).