Is there some trick to keeping an all dialog scene interesting?
Unless the whole scene is done to a black screen, then there is no such thing as an "all dialogue scene."
Well, there is -- it's called Radio!
In my opinion the trick with dialogue scenes is the keep the actor's moving and only use stillness for scenes of great emotional intensity.
However, in terms of writing dialogue the basics are:
1) Know your character inside out, so you know what their response will be to any given situation
2) Make sure there is conflict within the scene (not necessarily an argument, but conflicting objectives)
3) Understand that different people use words differently.
4) Make sure that the scene moves the story forward
The most common error that people make when writing dialogue is they have four characters, all pretty much the same kinds of people and they all say the same kinds of things.
In a script you should be able to take away the character names and still tell who is speaking the line, simply by what they are saying and how they are saying it.
Interesting challenge or mental masturbation?
Actually writing for radio is much harder than writing for film -- simply because you have to really get to grips with dialogue -- it becomes your primary tool for story telling.
So no -- I think it's a great exercise, as long as you don't forget that it's an exercise.
In the vast majority of films the moment of highest emotional tension is two people talking to each other --- either just before or just after a highly conflictual action sequence -- so it's not that someone got shot, it's what they say when they are dying that matters.
The trick to dialogue then is understanding that it's about the emotional relationship between the characters that makes it interesting -- interesting characters in complex emotional situations make great dialogue sequences.