Hot, Hot Heat
In general, the smaller a pepper is, the hotter it is. Still, chiles of the same variety, even harvested from the same plant, can vary in heat, so if you're sensitive to spicy foods, taste a tiny sliver of each chile before you add them to a dish.
The majority of a chile's heat is contained in its seeds and in the white membranes (called "ribs") inside, so you can do a lot to control the heat of a dish by removing or adding these seeds and membranes. Just remember to wear rubber gloves when handling these hot peppers, and don't touch your eyes.
Forms of Chile Peppers
Chiles also come in a number of forms. There's fresh, pickled, smoked, dried, roasted, and ground. Fresh ones will add just that--a fresh taste and a nice crunch to any dish.
The bigger fresh chiles such as Anaheims and poblanos are great for stuffing, not only because of their large size, but also because they are relatively mild and can be eaten in larger quantities without making people cry.
Pickled peppers are great on sandwiches and in salsa for that little extra zip and tang you're looking for.
Smoked chiles come in cans, and are wonderfully convenient for adding depth to stews and sauces.
Dried chiles can give dishes a complex, earthy flavor, and roasted chiles contribute an incomparable smoky richness.
Ground chile is great for adding just a little extra bite to your food without going to any extra work.