Sorry I'm a late comer to this thread ... but I have a strong favorite that only one other person has mentioned -- Crystal Louisiana Pure Hot Sauce.
It's a cayanne based sauce that's been manufactured in New Orleans since 1923 (until Katrina ... now they have a new plant in Reserve, La.). It's been the best-selling hot sauce in Louisiana for years. The last time I saw the New Orleans Times-Picayune run a poll on the subject, it was voted far and away the favorite hot sauce of the newspaper's readers.
I like it because it has real heat initially, but without the lingering burn of other hot sauces. It's great to cook with. And it's cheap ... remarkably cheap.
I was turned on to Crystal in 1993. I was in New Orleans for the Final Four and was able to attend a small, private cooking demonstration by Paul Prudhomme and he recommeded it (insisting that he didn't get a promotional cut from the manufacterer). A few years later, when I first saw Emirl Lagasse on the food network, he was using Crystal too (although now he uses his own brand-name hit sauce ... which is good, but overpriced).
Sometimes you have to scramble to find it ... I have to prod my local Kroger's at times. It's on their master list of products, but not on their automatic order list.
But try it -- as I say, it's cheap ... but's the best Lousiana-style hot sauce out there.