A recent challenge that I faced on a project was to generate the HTML of a full Drupal page, from within a Drupal request. The project called for a template to be rendered within the structure of a Drupal theme and also to include the styles associated with that theme.
At first, this doesn't seem like a big problem, but once I started trying to figure things out it became much more complex than I was expecting.
The problem is that you can't just render a page using the 'html' and 'page' templates as there is a lot of context surrounding those templates. Without this context in place Drupal produces a page of markup that contains no styles or blocks. The context is how Drupal knows what theme to load, what libraries to add to the page, what preprocess hooks to call, what menu items to generate, and so on.