It is possible to buy all sorts of infused liquors nowadays, but I have never seen my personal favorite sold in stores -- red pepper infused Tequila. We first had margaritas made from pepper-infused spicy tequila in Pacific Beach at a restaurant called JRDN and since then it has been a favorite of ours. Not finding any in stores, we make our own, cutting up 5-6 small red dried chili peppers and leaving them in the tequila for 1-5 days -- the length depends on how spicy you want it and how fresh the dried peppers are. The first time you do it, you need to try it frequently as the spiciness is unpredictable. Also, you may want it spicier for drinks where it gets diluted (e.g. margaritas) vs. just drinking straight.
My current favorite every day, reasonably-priced tequila is Cazadores (the one with the stag on the label). IMO, it is way better than some more famous, and more expensive, brands like Patron. The gift bottle show above was Cazadores Extra Anejo infused for about 4 days.
If I really want to blow it out, my favorite sipping tequila (do not make a margarita out of this stuff unless you light cigars with hundred dollar bills) is Clase Azul Reposado. Pero, es muy caro! If you do light cigars with hundred dollar bills, you can try the Clase Azul Ultra, but I have never had more than a taste given that it goes for thousands of dollars a bottle -- sort of neck and neck with a 23-year old Pappy Van Winkle.
PS- as with most things that are harmless and enjoyable involving alcohol, this is probably illegal somehow. Please do not turn me in to the FDA or BATF.