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The Cayenne pepper. is a bit milder, rating at 30,000 to 50,000 Scoville units. They're named after the French Guiana city of Cayenne. I'm sure you're familiar with the Cayenne pepper; it's ground and sold as a pretty common spice.
Aside from the obvious color and flavor differences, they simply come from a different species. A Cayenne chili pepper looks like this. Its Scoville rating (a system the measures the spiciness in capsaicin-based peppers) is around 30,000-50,000 Scoville units (pretty spicy, according to my palate). By comparison, the hottest chili in the world is ~2 million Scoville units.