The source of the most heat in spicy cooking, all chili peppers contain a colorless, tasteless compound called capsaicin. These natural substances produce the burning sensation in the mouth, perspiration, tearing, etc. Capcasin is primarily found in the peppers "placenta," or the white ribs that run along the pepper, and the seeds which are in contact with the ribs. The pure, primary compound is so intense that a single drop diluted in 100,000 drops of water would still cause your tongue to blister. The amount of capsaicin in chili peppers varies greatly between the different varieties and is measured in Scoville Heat Units.
Here is a handy pepper chart showing the range of pepper's "heat."