Black Pepper contains a substance called Piperine that gives the hot sensation. It just so happens that Piperine increases the bio-availability of several important substances.
1) Curcumin: This substance has many health benefits, a very important one being the slowing, halting or even reversing of amyloid plaque formation in the brain, as mentioned in Look after your brain. See Influence of piperine on the pharmacokinetics of curcumin in animals and human volunteers.
2) Beta-carotene: See Piperine, an alkaloid derived from black pepper increases serum response of beta-carotene during 14-days of oral beta-carotene supplementation.
3) Coenzyme Q10: See Piperine derived from black pepper increases the plasma levels of coenzyme q10 following oral supplementation.
Capsaicin, the hot stuff in chilli peppers is also quite useful.