How about adding an option to filter featured questions by the value of their bounty? I.e. I want to challenge questions with bounty above +250 and would like to find them easily.
I agree this would be a nice feature: http://stackoverflow.com/questions?sort=featured&filter=bountypoints but realistically it is quite a big task.
In the mean time, I whipped up this query that will list questions with bounty's from the start of the month: (direct link)