Graduate-level math texts with challenging problem sets include works by Polya and Szego, which focus on real and complex analysis, and Walter Rudin's text, known for its difficult exercises but lacking solutions. While some believe that graduate texts may not have problems specifically designed to test cleverness like Olympiad problems, they often contain sufficiently challenging material that requires deep thought. Research mathematics problems are generally harder than Olympiad problems, as they involve unsolved questions that require extensive background knowledge. The discussion also highlights the difference between known solutions in Olympiad problems versus the open-ended nature of research problems. For further challenges, resources like Project Euler and various graduate-level texts are recommended.