For challenging Scheme exercises, check out the sample programming assignments for SICP: http://mitpress.mit.edu/sicp/psets/index.html

SICP itself (http://mitpress.mit.edu/sicp/) is worth checking out, too. I doubt you would find the book itself to your taste, but there are programming exercises at the end of each section.

Also, for what it's worth, my favorite language for working Project Euler problems is Scheme, by far.