For a deep, flavorful, and possibly smoky taste with moderate to high heat, use chili powder. Note that there are chipotle or ancho versions of chili powder, the former being very
smoky and hotter and the latter being more mild and likely not smoky. Basic chili powder includes a lot more ingredients than just dried, powdered chili pepper; it can also contain garlic powder, salt, oregano, cumin and in some cases even cinnamon!
For general heat without a lot of flavor, use cayenne pepper, but beware: a little goes a long way!
For a sweet, more mild flavor use traditional Hungarian Paprika, which is generally not spicy at all. However, you can find very spicy versions as well, which tend to be the Spanish varieties. I have gained an extreme appreciation for Paprika because of my Hungarian family-in-law, and I love the flavor that it adds to traditional dishes.
For a salsa-like flavor with a lot of heat, use Tabasco.
Bloom the Spices
To intensify the flavor of the spices and bring out their essential oils even more, “bloom” (aka “toast”) a spice before using it by cooking for 1-2 minutes in butter or oil before adding to a recipe.
Quick Pro Tip
Do not pour Tabasco directly into a hot pan if you value your lungs, nostrils or eyes. The sauce will immediately evaporate and turn into an aerosol-like substance which, when inhaled, will have you regretting your decision for some time to come. Not that I know from experience or anything.
And lastly, a video on how to correctly pronounce Chipotle. Quit saying it wrong, dangit.