I’m with the dragon and it’s asking me whether I want Challenge, Fame, or Candies. I don’t want to choose one yet because it may not let me choose another, so I want to know what they do first.
The options don't cancel each other out. You can do all of them, in any order and many times. When you select one, the dragon tells you what it is.
takes you to hell, to fight the devil himself,
takes you to fight the developer
lets you know that there is a puzzle available in the lighthouse.
All of them will ask you before taking you anywhere, after telling you where it is that you will be taken.