Last winter I started to take cayenne pepper pills while at work due to the low temperature in the office. I would take one per day with a lot of water and a little bit of food. They help increase circulation to prevent you from feeling cold. Boy, did they work. At first I experienced mild stomach discomfort because I was not used to the hot pepper. That went away after about three days of usage. The brand that I used is Nature's Way with 40000 HU's. I highly recommend it if you are often cold in the winter. I rate it a 10/10
I was recommended cayenne pepper pills by a doctor at one time to help get rid of gas. The theory the doctor posed was that there were certain elements present in hot peppers that eliminated gas causing bacteria. I tried it for a week and it didn't work. Glad to hear they work for something though.
I wouldn't bother with buying cayenne pepper when you can just buy cayenne pepper or chilli powder. Chilli peppers are a powerful anti-inflammatory and they also contain a lot of vitamin C. However, I generally think it is best to obtain the health benefits of these compounds and minerals through food, rather than artificial capsules.