if you buy the fresh peppers make sure you get the red ones, not the green, doesn't matter which variety, cayenne, habenero, etc. they all work. you can make a sauce with the fresh ones reall easy, just put in a blender with some unpastuerized apple cider vinegar (like bragg's brand) and blend. add enough vinegar to give it a smooth consistency, but not too much so its runny. that'll keep for a few weeks, and is very potent. you can then mix that with honey or molasses for a real pick me up.
otherwise the powder will work fine too.
i don't reccomend cayenne capsules, as they can burst open all at once and burn your stomach lining or intestine lining. best to take it in powder or sauce form, or added to food.