Chile peppers are all capsicum. The onyl one with no heat at all is the bell pepper.
Capsicum anuum, capsicum frutescens, capsicum pubescens, capsicum baccatum and capsicum chinense are the five main cultivars. They range from very mild to extremely hot, and traditionally, the heat is measured in Scoville units.
Chiles originated in Latin America. The earliest traces (12,500BC) were found in Peru. Mexico is probably the place to go if you really want to see how chiles can be used creatively. It was probably the Portuguese, back in the early 1500s, who took them to India, although the Spanish also brought them to Europe from Mexico.
Anaheim and banana peppers are usually very mild - between 500-2500 SU; jalapeños come in at about 2,500 - 8000; serranos 10,000 - 25,000, and then you start getting the medium hot: cayenne, chile de arbol, Thai; all around 30,000. Hot comes with chiltepin, piquin, bird chiles, prik kee nu - 100,000 on average. Formerly, the hottest peppers were the habaneros/scotch bonnet chiles, which hit anywhere between 250,000 - 500,000.
About 15 to 20 years ago, the ghost pepper (naga, or bhut jolokia) appeared in India. Many experts disbelieved the 1,200,000 - 1,400,000 SU - until they tried them.I've grown them and they are seriously, seriously hot, BUT..
Then we got the Trinidad scorpion,(1,450,000), the Carolina Reaper (1,650,000) and now, Pepper X which weighs in at 2,600,000 SU.
These days, there are hundreds and thousands of varieties, so you'll always be able to find one to your taste; mild, medium or hot.
I love chiles and was actually hectored into giving a talk at a local gourmet festival back in 2011, so if anyone's interested, I'm a mine of useless information.