Those ultra hot sauces are boosted with capsasin extract... which add no flavor. The super hot sauces appeal to people who want to be tough or something. If a hot sauce does not add to the flavor of the dish you're putting it on, then there is no sense in having it. Plus those sauces have hurt some people that have tried them... definitely not worth the risk.
I ran across a new hot sauce made by the Tabasco sauce people that is made from Habenero peppers... it's hot but very tasty.