Capsaicin (from Wikipedia)
The chemical compound capsaicin (8-methyl-N-vanillyl-6-nonenamide) is the active component of chili peppers, which are plants belonging to the genus Capsicum. It is an irritant for mammals including humans and produces a sensation of burning in the mouth. Capsaicin and several related compounds are called capsaicinoids and are produced as a secondary metabolite by chili peppers, probably as deterrents against herbivores. Birds are generally not sensitive to capsaicinoids; pet parrots often love to eat even the spiciest curry or hot pepper, as a snack. Pure capsaicin is a lipophilic colorless odorless crystalline to waxy compound.
Because of the burning sensation caused by capsaicin when it comes in contact with human flesh, it is commonly used in food products to give them added spice or “heat” (piquancy). The degree of heat found within a food is measured on the Scoville scale. Typically the capsaicin is obtained by using chili peppers as the source. A product customarily containing large amounts of capsaicin is hot sauce (varieties of which may contain chili peppers or pure capsaicin).
Capsaicin is a nonpolar molecule, and is therefore hydrophobic. Drinking water to reduce the burning caused by the molecule is ineffective, as the nonpolar capsaicin is unable to dissolve in the polar water molecules, and is instead spread across the surface of the mouth. This works by the same principle that causes oil and water to separate.
Instead, consuming foods high in fats and oils, such as milk or bread and butter, will help alleviate the burning. The lipophilic capsaicin is able to mix freely with the fats in the food and is removed from the surface of the mouth. Alcoholic beverages also dissolve capsaicin due to the solvent characteristics of ethanol. Of course, over time the capsaicin will dissipate on its own accord.