They were all challenged by the gods in some way, punished by the gods in some way, and rewarded (arguably).
Heracles was half-god and had to complete 12 labours to appease the gods, Jason, aided by Medea, had to steal the golden fleece and Achilles was told he could have long life and peace and children or eternal glory and an early grave. He was also son of a goddess.
That's all a bit vague, I'm afraid. The Iliad is a great epic poem about Achilles, and the Medea tells the story of Jason's later years after seizing the fleece, and there are many tales and histories of Heracles available.