Hot pepper (Capsicum annuum) fruits, usually termed as chili, have been used since ancient times as food vegetables, flavoring ingredients, natural colorants, and in traditional medicines. Nowadays, a wide variation of sweet and pungent peppers are consumed worldwide in a large variety of forms. Interestingly, the most important hot pepper at the global level in commercial terms is C. annuum with a high number of varieties. This review compares C. annuum to other Capsicum species for plant agronomic traits, biochemical composition, the content of capsaicin and capsaicinoids and their nutraceutical and medical potentialities, and the effects of processing on quality and key components of the fruit, among other aspects. Chili contains important levels of pigments (i.e., chlorophyll, anthocyanin, and lutein) with potential health benefits; it also contains additional outstanding health-promoting chemical compounds, such as vitamins, minerals, flavonoids, carotenoids, and capsaicinoids, in general. And capsaicin, the major active compound responsible for the pungent taste of these species has been proven to have a positive role in health. We report here on how dietary chili and capsaicinoids consumption, especially capsaicin, are involved in body weight reduction and their potential antiobesity effects, in urinary disorders, as well as antioxidants, antimicrobial, anticancer, and analgesic capacity. Selected characteristics of processing for the fruit preservation on its quality and content of these compounds are described as well. However, additional clinical research on the mechanism of action and efficacy of frequent capsaicinoid consumption on human health is needed.