There are many spicy peppers all over the world but only some of them should actually be called spicy. These peppers are measured on a scale called the scoville scale. These spices are grown from all around the world. The spices are listed in order form the spiciest.
The Naga Jolokia pepper (SR: 1,041,427 in its hottest form)

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The Naga Jolokia Pepper is grown in Bangledash and is one of the hottest peppers in the world. The pepper is also known as The Ghost Pepper, and The Ghost Chili. Just from eating one of its seeds your mouth bill burn for about 30 minutes. Now that's Intense!
The Red Savina Pepper (SR: 350,000 - 580,000)

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The Red Savina Pepper is a type of habanero pepper. It is normally grown in China. Some nicknames of this pepper are Dominican Devil's Tongue Pepper, and the Ball of Fire Pepper.
Scotch Bonnet (SR: 100,000-350,000)

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The scotch Bonnet is an extremely spicy pepper. It is grown mostly in the Caribbean in areas such as Belize and Jamaica. They can come in a variety of many shapes and colours.
Tepin Peppers (SR: 50,000-100,000)

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The Tepin Peppers are believed to be the hottest in the world and are grown in the deserts of Texas. A nickname for this pepper is called A Bird's Eye.
As you can see here there are many spicy and interesting peppers all around the world and are a must try for everyone. I'm sure I could add many more peppers to this list. It is just so fascinating how these small peppers can be extremely spicy. Hope You enjoyed reading this!