I do not believe there is a way, at least not in Live. Can't recall if you get a message if you are challenged in Daily/Correspondence but if you do it might be in your message archive.
Retrieving Previous Challenges

I am most interested in online turn-based at the momement. Can anyone shed some light on this? Thanks.

That would be a nice feature for people like me who have three grey cells. Darn. Should be simple to program...
Is there a mechanism for retrieving a list of previous challenges submitted to you, which you declined, so that you may now challenge those players? In other words, if you forgot the aliases of the people who challenged you in the past, can you get those aliases?