I pulled this off in a joust with the core set decks the other day, and I just wanted to make sure it was legal:

I can't remember the exact details, but I'll give you simplified version. I had a a dragon in play (let's say Raegal), and both Seductive Promise and the Dothraki Honor Guard in my hand. I was the first player, and my opponent didn't have the ability to defend power challenges.

During the marshalling phase, I put the Dothraki Honor Guard into play for free by putting it under the control of my opponent. Then, during the first challenge of the challenges phase, I initiated a power challenge, declared Raegal as the attack, and bypassed the Dothraki Honor Guard with stealth. I won the challenge, and since I had won by 4 STR, I played Seductive Promise and took control of the Dothraki Honor Guard.

It felt a little strange, because it seemed like I was interupting the Honor Guard's ability text...

"Challenges: You may put Dothraki Honor Guard into play from your hand, under the control of any opponent. After that opponent wins a challenge in which Dothraki Honor Guard participated, take control of Dothraki Honor Guard. "

...but I thought about it, and it seemed like the ability text was still being fulfilled. Either A) my opponent would never win a challenge in which the Dothraki Honor Guard participated, or B) my opponent would win a challenge in which the Dothraki Honor Guard participated (as the defender), in which case I would take control of Dothraki Honor Guard (which I already had, so it was redundant.

This leads me to a second question, which is probably unlikely to ever become an actual game issue:

What if, after I had done the above combo, my opponent had used a Seductive Promise on me, and taken back control of the Dothraki Honor Guard. If he then used the Honor Guard to win a challenge, would the original ability still hold, and would it come under my control?

Your first example seems fine to me. The control change due to a control effect lasts until the card leaves play, the control effect ends, or a control effect supersedes it. So in your last question, the Honor Guard would return to you because the Honor Guard's control change effect would be applied last.

The only problem in your example is that you cannot trigger the "Challenges" effect of the Honor Guard in the "Marshaling" phase.

Thank you. I'm not sure if I actually did use the Honor Guard's ability during the marshalling phase, but in remembering it, I assumed it was a marshalling phase ability. But good point.