When creating a new character, on top of deciding whether a character will be a Season or Legacy character, there’s also other options: Game Mode and Challenges.
There are two Game Modes in Last Epoch, Normal and Hardcore. The differences of the two are that they do not share stashes between each other, and if a Hardcore character dies, it will become a Normal character of the same challenge and Season.
There’s also additional Challenges that can be chosen to further customize your experience.