some people go for the heat because of the endorphin rush associated with spicy peppers, see Capsaicin - https://en.wikipedia.org/wiki/Capsaicin - which also has analgesic properties.

I've read somewhere that the body releases endorphins because you trick it into thinking its in pain (and for some it is painful) but if you enjoy eating spicy foods this might explain why you'd want to push the envelope.

No pain no gain :)