Having grown a few in southern arizona, I might suggest tabasco peppers as well. They are small, hot and have a great flavor.
I agree with those who say buy the seedlings from a supplier, it is much easier than fooling with trying to seed the silly things.
Red jalapeno's do have a better flavor IMHO than do the green ones. However, I perfer to pickle some when green.
Try dropping an average jalapeno into hot grease (such as after you have fried fish) and let it cook for a few minutes, you will find that the temperature of that thing went up considerably!!!!! Brings out the flavor.