Nutrients
Cayenne pepper is an excellent source of vitamin A. It's a good source of vitamin C and dietary fiber.

Weight Loss
Epidemiological data (data hatgered from population studies) indicates the consumption of capsaicin rich foods such as cayenne and other peppers is associated with a lower prevalence of obesity.
In a human study conducted at the Division of Kinesiology, in Québec, Canada, the addition of red pepper to meals significantly increased diet-induced thermogenesis (heat production) and lipid oxidation (the burning of fat for energy). In a second study, results show that the intake of red pepper decreases appetite.
In recent research there is evidence that capsaicin from cayenne and other chili peppers may inhibit the growth of fat cells by activating AMP-activated protein kinase (AMPK), which is found in muscle and other human tissue. AMPK has been found to regulate eating behavior and energy expenditure, and AMPK activation also stimulates hepatic and skeletal muscle fatty acid oxidation.
Cayenne extract capsules are available here...

Arthritis
In a 4-week double blind study of 70 patients with osteoarthritis, and 31 with rheumatoid arthritis, it was concluded that capsaicin cream is a safe and effective treatment for arthritis.
Another double blind study suggest that capsaicin is a safe and potentially useful treatment for painful osteoarthritis of the hands.

Digestive Health
Cayenne has been, and is still used for digestive problems in traditional Chinese, Japanese, Korean and Ayurvedic medicines.
Studies have shown cayenne, or the ingredient capsaicin, to be effective in relieving the symptoms of dyspepsia.
It also offers protection against peptic ulcers, and against injury to the stomach lining caused by aspirin.

Pain Relief
Capsaicin from cayenne peppers is used effectively in many areas of pain relief.
It has been shown to be effective in acute pain relief following surgical procedures such as inguinal hernia repair, mastectomy and other cancer surgery
There have been several preliminary studies, and a large double blind study supporting evidence of the effectiveness of capsaicin for pain relief in individuals with post-herpetic neuralgia, the pain following an outbreak of herpes zoster, or shingles.
Results of studies also suggest that topical capsaicin cream is a safe and effective treatment for diabetic neuropathy, the pain that is thought to result from injury to the micro blood vessels supplying nerves. In one study topically applied capsaicin was equally effective as amitriptyline (antidepressant drug with side effects sometimes prescribed for pain relief) for relief of the pain of diabetic neuropathy.
A preliminary study has suggested that topically applied capsaicin cream may decrease neck pain, but a double blind, placebo controlled trial is needed to substantiate this result.

Cardiovascular Health
Cayenne pepper reduces atherosclerosis by inhibiting platelet aggregation (blood clots), and increasing fibrinolytic activity, which is the ability to prevent blood clots that can be the cause of heart attack, pulmonary embolism and stroke.