I make 'em with homemade pepper-infused vodka.
Into a bottle of vodka, typ 1L, put two or three whole cayennes and 1/8 - 1/4 tsp of whole black peppercorns. Rest it for a week or bit more, then decant off the liquid. Too much longer steeping or running amok with the peppercorns and it seems to get bitter.
Great in Bloody Mary or Caeser, and also for pepper vodka shots when icy cold from the freezer.