The most expensive spice in the world is saffron spice, the most expensive you should go deep in family of peppers, i also heard there is a sauce with the name of ghost sauces which is really spicy.
http://www.exirsaffron.com

Just about the most expensive is saffron; mild but very subtle flavor and adds wonderful color. It's expensive because it's harvested by hand, all those little crocus stamins.

For hot and spicy you might be looking for things in the family of peppers; heat is measured by Scoville units. When you start getting up into the 60,000 level you are talking about screamin' serious heat.

Do you mean spicy hot?