To find a decent hot sauce:

1) Don't buy anything that has vinegar near the top of the ingredients list. However, even non-vinegar sauces don't always taste great since (as mentioned) people love to buy bad-tasting sauces. So:

2) Buy the hottest sauce you can find, and "dilute" it with the food that you're eating. This is much easier to do when you're cooking, but if you're really careful to spread it evenly (to avoid super-hot-spots), you can use it on top of prepared food too. The big benefit of this is that it doesn't matter how bad your sauce tastes because you use so little of it. (unless you're a total masochist, a half teaspoon of the hottest sauces per serving is enough)

Some Jewel stores in Chicagoland carry Dave's Insanity Sauce (videos), which does the trick nicely.