Cholula is my favorite of the grocery store brand mexican hot sauces. I also nominate Siracha as a leader of mainstream hot sauces. Some of them (as well as the louisiana/tabasco style sauces) just end up being heat and vinegar with no real flavor. They're nice all purpose sauces, but here are a couple that have a unique flavor as well
both awesome on eggs, chicken, potatoes, etc.
I'm a fan of quite a few jamaican jerk sauces as well but I don't know that they qualify as the hot sauces you're looking for in this discussion.
There's really good web sites for crazy varieties of hot sauce, I highly recommend exploring them, it's more expensive than the 99 cent shit but well worth it. If you live in LA there's a killer hot sauce store at the Grove farmer's market
the truly best hot sauces are the fresh ones made the same day. bottled hot sauces with their typical high vinegar content are simply not in the same league.
a sample recipe: take the following--
2 medium-hot fresh peppers (most varieties work)
1 small red eggplant
1 small onion (optional)
1/4 cup fresh cilantro (optional)
puree in food processor. use a small amount of olive oil and water to avoid sticking and keep the blades moving.
the red eggplant makes it smooth, creamy and rich-tasting without a bit of actual mayonnaise, egg whites, etc. only problem is, i've no idea where to get those eggplants in the states. backup would be a small piece from a regular purple eggplant if you can find a mild-tasting variety...
Cholula is good. I like their Chipotle.
Frank's great when craving that vinegar taste...in fact, I like their premade buffalo sauce flavor.
Melinda's makes some great sauces and they are pretty widely available. There are able to create a haberno sauce that has flavor and not just heat. Their mustard sauce is great too.
I used to work for a hot sauce magazine and once got to visit a Scotch Bonnet field in Jamaica. I got to taste a lot of specialty sauces and I have to say my favorite was Smoking Habs from a small producer in NY state. It's chipotle, haberno and mole flavored. It's really good.
The label also has a three chiles smoking a joint and an argument for marijuana legalization on it. This probably explains why this is not in supermarkets and why the company's blog has one post on it in two years.
But if you are really in hot sauce or know a hot sauce head, try this one.