There are several different compounds that affects our nervous system in a way that we colloquially call "spicy" or "hot". The most common ones in culinary use are Capsaisin, Gingerol, Piperine and Allyl Isothiocyanate.
Capsaisin is the type of spiciness you feel on your tongue and throat. This is found in the different types of chili peppers.
Piperine is a low but accumulating burn on your tongue. This is found in black pepper.
Gingerol is what causes the sharpness and spiciness found in ginger.
Allyl Isothiocyanate is the compound which causes the burn that hits the sinus. This can be found in mustard, radish, horseradish and wasabi.