The spicy chemical is called capsaisin. You “taste” it when it binds to temperature receptors in your mouth. It does not activate taste buds like other flavours do, it literally activates heat sensors. That’s why “burning / hot” are such good descriptions, it’s the exact same experience. That’s also why food being hot temperature makes spiciness worse – those both activate the exact same receptors so it adds together.
You have temperature receptors all over, so spicy capsaicin can feel warm anywhere. Mucous membranes (aka nose, eyes, ass) are worse because they are permeable and let the capsaicin through to where the temperature sensors are, where it then activates them.
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