Pfffft. Wimp.
You've not tasted spicy till you've had
chilli crab!
Everything else in the West is fluff by comparison. Why, I had a German dormmate choke on my
Maggi curry noodles, and that was barely a tenth of how spicy almost anything else in Singapore, or Malaysia for that matter, can get.
escimo has already explained why you get the burning sensation. And, yes, it comes down to personal preference as to why some people enjoy that "taste". It gives your food some much needed oomph.
But it doesn't really have to "burn" and, in fact, if it does, then the chef has most likely overused it. Spices are meant to enhance the flavour of food, especially meat. Historically, they've also been used as preservatives and also possibly to hide the taste of rotting meat.
Having survived three years of bland British food as an undergraduate — and this was in the 20th century mind you; Indian food is a godsend to Britain — I hate to imagine what British food may have been like in the Middle Ages. It's no wonder Europeans conquered the world in search of spice. With such awful food waiting for them at home, who could blame them?