Tom,
I've actually had about 3 different chili powders at once lined up for a quick pinky dip taste test. There are quite apparent differences. Most chili powders are actually a combination of powdered dried chiles (ancho and other mild chiles), oregano, cumin, garlic, and sometimes salt. Since the quality of all the ingredients determines the quality of the whole, it's only natural that they taste different. I'd experiment with different brands to find one you like, or make your own.
I found that the bulk chili powder at Whole Foods is pretty good, but you can't beat
Penzey's Spices versions for 'wow' flavor.
