I really miss Pertsovka. Was reasonably easy to find in the 80s. Impossible in US now. Was impossible in Russia last year - only place I could get it was at the restaurant in the Russian Museum off Red Square (#1). Couldn't find a bottle anywhere & I tried. Pertsovka is unusual as it's hot (not too) but also soft tasting. I wouldn't know how to start (except it's probably a red pepper that does it).
I can't stand most other commercial peppered vodka as they taste chemically to me. There is one from OR that is good (Mazama) but I've found it iffy to find. What I've started to do is simply take put 1 quartered jalapeno into a bottle of vodka (I use Russian Standard) and let it soak for 6-12 hours depending on how hot you want it and the heat of the pepper. That seems to work for me and the resulting peppered vodka has a "green" natural flavor to it.
The reason I needed it is that one of my favorite cocktails is from Wallse in NY - their tomato water martini - and I like to make it at home.
Hope that helps - now you've made me want a little sipping vodka before I go to bed...