Indeed, there's a world of difference between the two, and capsicum-based things (peppers) can indeed cause damage to sensitive tissue. That's why capsicum spray has permanently blinded some people on occasion.
Incidentally, for something tingly and exciting but not hot, try sucking on a minty or candy cane then licking the area. Or indeed, getting a candy cane all moist (but do not suck it to a sharp knife-like point as I always do when eating them normally - every time I end up stabbing myself in the mouth and it hurts!) and insert that. Then blow on it. Absolutely amazing.