You can also buy dried halepenos and grind them in a spice grinder if the cayenne isn't hot enough.
Jalapenos aren't that hot at all. They rate at only around 30-35k scoville units if memory serves. The Bhut Jolokia is over a million. Habaneros are somewhere around 300k.
If you want hot, go with a pepper that's hotter than a jalapeno. Or go to an Indian/Asian shop and buy chilli powder (which you westerners call cayenne
) there. They probably have several levels of spicy for their chilli powder - the Indian shops in New Zealand certainly did.
Also, in Sri Lankan cooking, we layer the peppers, using both fresh green chillies as well as chilli powder (red), and sometimes adding black pepper as well. In combination, they can knock the spice levels up a bit.