Any advice on creating challenging combat encounters?

How do you determine the numbers and strengths of adversaries that make for a good challenge? I know this isn't D&D - game balance is less important than narrative. But there's no harm in creating fun, challenging encounters from time to time, right? Obviously, it'll depend on the PCs, but are there any guidelines or general purpose advice you could share with a fairly new SG?

Take a look at the penetration that your magi can create. Fights where the magi can turn their opponents into frogs in round one aren't challenging, fights where your magi can't ever get anything to work on the opponents can be frustrating depending upon the attitudes and capabilities of the magi/players.

I've had a lot of fun with fights where the magi could, with a good roll, get level 10-15 spells through.

Oh, from the title I initially thought the question was about setting an interesting and challenging environment or situation.

So power levels?
Yeah, that's tricky, especially since characters are all so different, magi especially.

But as Erik Tyrell says, take a look at what offensive spells the magi have and what Penetration they can muster. IIRC an old rule of thoumb was that a Might 15 creature was appropriate for newly gauntleted magi. But that should be taken with a grain of salt, because a specialist with a serious interest in combat magi easily gets Pen 15. But someone less focused on magic and more generalized will struggle. So you need to analyse each participating magi individually. I'd try to set the opposition to be one enemy per PC, with perhaps one or two more who wait an see where to strike or who are going after some objective. If a PC dispatches his opponent easily there is another on on stand by, and the PC can prevent this extra enemy from double-teaming another PC or reaching the objective. Or one of the extra enemies can be the Boss, so the best combat PC needs to decide if he wants to reach the obujective, tangle with the boss, or help his mates with the lesser enemies.

And also the grogs and companions, since their combat skills may also vary. Enemies with good combat skills are hard to hit but also dangerous because they are likely to hit you. Even if they have low Str or light weapons a high combat margin of success yields high damage. If the enemies on the other hand have low combat skills but good Soak they are not than dangerous, easily hit but only good hits (or blows struck by the strong grog with the large weapon) will harm them. This type of enemy may be better at giving a longer, challenging fight without being dangerous. And this gives more time for creativity and use of magic.
For simplicity you can assume rolls of 5 for enemy Defence rolls, that way high rolls don't ruing a PC's good roll. You can roll the die to check for 0 but disregard any other results and just assume 5. Or just have enemy non-Bosses roll non-exploding stress dice to avoid lucky rolls on their side.

**Edit: What I really wanted to say, in brief is:
Tailor the challenge for the power level of the bulk of the group! The stronger individuals will excel and can help others, perform the objective etc. They should own the situation, so allow them that success rather than nerfing them. But present other challenges, other tings to do. While weaker individuals may be in danger, they should act accordingly and a polite SG should go easy on they to begin with. If they insist on fighting above their power, it's ok to hurt them.

As for the situation an environment:
Fights without a reason are usually not interesting in the long run. I wrote about 'objectives' above, and by that I mean some thing needing to be done during the combat - and the combat is a delaying action for one side to prevent the other reaching the objective. This can be a thing one side wants to steal or destroy, a person they need to kidnap or rescue, a portal or passage they need to reach or close, a piece of information they need to retrieve from or deliver to someone etc. Or the PCs run into an enemy patrol, and if even one gets away he'll run back to camp and alert the entire army. If one side on the conflict need only one person to reach the objective, and are willing to sacrifice the rest, things are really tricky. Both sides may even have objectives, and the objective may even be the same. Achieving the objective should require using other specialities than combat, other than Combat abilities. Running, jumping, climbing and other Athletics uses are obvious choices. But other skills like breaking open a door, picking a lock, finding information in a book, convincing another person of something, or even winning the heart of a unicorn through song can work.

Making environments interesting gives further challenges. Use the terrain to create situations requiring tactics, planning, use of magic or other skills to solve.

I had a situation in my previous Rhine saga, where a group were searching wetlands for a stork, which the Mercere obsessed with fathering as many children as possible though was appropriate for a Familiar. They got sidetracked because some very large frogs were found to contain vis, so they inadvertently wandered into the area plauged by a Bogglin. A fight started, as the Bogglin's many tentacles started to grab grogs and pull then under water. The Mercere cast a "Bridge of Wood" kind of spell to traverse a wide channel of open water as escape route, but the bridge was not long enough so it was not firmly anchored on the far side. As people started to run across the bridge it turned out to be half-floating and wobbly and the route across was slow, if they didn't actually fall. While some grogs were racing across to escape, others were being pulled into the water, and others again were rushing to help their comrades. As grogs held on to their tentacle-grabbed mates the strong Bogglin started to pull the floating end of the bridge towards itself. Eventually the entire bridge was dislodged from land and started to sink, while the fight was still going on.
But a fight could be on floating floes on ice in a churning current, across rooftops and alleys in a city, or on the tables at a nobleman's feast.