GT4's challenges were incorporated into the Licences in GT5. In GT4 you could save mid championship but not in the middle of an endurance race. GT4 had more events, but they were just as easy/easier than the A-spec events in GT5, more quantity but not really more quality.
GT4 lacked special events, it had a massive list of rally type events that were mostly easy grinding. GT5 has the special events which are (in my eyes) a pleasant new feature.
GT4 was great sure, but some people need to take off those rose tinted glasses.
I agree with this. GT5 has better quality events. For those of you who don't remember, yes, GT4 did have a ton of races to do, but it's just the same one event over and over again except with different opponents and more laps each time. This is especially apparent with the rally events. The manufacture events also were scattered all over the place and pretty bland.
I did like, however, like a few things about the manufacture races. There were a lot of them, and they required you to buy all types of cars from different makers, so you had try out different cars whether you liked it or not (unless you could care less about getting 100% I cared... I wanted that all-black FGT

). Not to mention, many of the main events offered a lots of prize money, and re-winnable prize cars.
Regardless GT4 felt like a much more refined game. I played it to death for years, and even after I got all golds in the licenses and reached 100%, I never really stopped playing. I've only had GT5 for, what? 2-3 months now? And I'm sitting at 94% completion. I went through the game legitimately, before I discovered trading after I reached level 25 A-spec (yeah yeah... I'm a duper/dishonest wanker/cheater whatever it is
you guys think of me

). The races are all horribly underpaying. For example, I did the Indy 500 last night. Used the X2010 for an easy cruise to victory (whatever

), and I was awarded only 247,000cr? Seriously?! The exp. was nice, but c'mon, a race that's a little over two hours gets me that? Where's the sense of reward for going through that? Dude, the first GT offered more prize money in its events! Geez. I can only imagine what the longer endurance races will be like...