I too have wanted some kind of capstone to dungeon completion. Not necessarily a special challenge (although I like the idea), but some kind of special non-gold prize. We're in feature freeze now as the devs are trying to get this finished, so any discussion about it is just for fun.
Here are some ideas I've had (that won't get implemented but there's no harm in dreaming):
1) Adds a slot to the Packmaster (TM) Vault. This isn't a feature that's going to make it, but I still think that a mod or mod-like implementation could happen.
2) Unlocks "sandbox mode" for that dungeon. I really like this idea, even though it's out of both the design budget and design philosophy. The idea is that once you demonstrate total mastery over a dungeon, you get some sort of optional mode where you can control which altars, glyphs, and stores appear in the dungeon. The whole thing would just be for laughs and experiments with wonky combinations; you shouldn't be allowed to gain gold for playing in sandbox mode.
3) You get some visual thingie in your kingdom, like an appropriately themed statue or something. One of the devs mentioned that they had outside plans for some kind of visual reward for completion milestones, but that it was low priority and likely too expensive to make the cut. Seeing the amount of work that getting the basic kingdom interface up and running has been, I don't think this one is going to get out of the cutting room.