When you eat something spicy, receptors in your mouth and nose react, making you feel as if you're under the heat of the sun. So your body reacts the same way: with pain and sweat.
And as with other times you're hot or in pain, the body releases endorphins. Eat spicy food regularly enough, and you start to associate the pain of pepper with the endorphins' pleasant rush. (That endorphin rush is the same reason some people start to love the pain of running long distances.)
Next time you're suffering from a spicy bite, don't reach for water. Capsaicin, the ingredient in peppers that makes them spicy, can be broken down by dairy, alcohol, and rice, so you're better off with one of those.