It depends how hot or sweet you would like it - packet labels should give a guide to pungency. Hungarian paprika has a balanced sweetness - warm, rather than hot. If it is labelled 'noble sweet', it will be the best quality.
In comparison to the Hungarian stuff, Spanish paprika is a little milder and is marked either 'dulce' (sweet and mild), 'agridulce' (bittersweet) or 'picante' (hot). The Spaniards also make a version using peppers that are wood-smoked before being ground - look for smoked paprika or 'picante pimenton' on the label.
Keep in an airtight container in a cool dark place, it will last a couple of months.
Try cayenne or chilli.