As is the case with Steve's home in southern California, Cholula's is on a lot of tables...
...in mexican restaurants and taco shops here in Arizona. It is very popular, and has a distinct flavor profile that comes more from the spices they add than the chiles.
It's ok, but I'm not a big fan. I think it has too much cumin, but that's just me.
I prefer a locally made brand that makes it into most supermarkets here, and that I sometimes see in airports. It's called Arizona Gunslinger Smokin’ Hot Jalapeno Pepper Sauce . It has a vinegary flavor and lots of jalapeno taste. Good stuff.
As for a smokey hot sauce, I have been buying Louisiana Chipotle sauce at the 99 Only store. . .
I eat this stuff EVERY morning on these egg white, mini-corn tortilla, and sauteed greens tacos I make for breakfast. I am going through bottles of it. I feel this sauce is not too vinagary also.
Want the smoke and heat, but no vinegar/spices? Try Penzey's smoked paprika. This goes on my egg whites along with ground black pepper for some real zing and I swear it gives my egg white "pancake" a real meaty flavor that I love.