A couple of weeks ago on "America's Test Kitchen," a PBS show done by Cook's Illustrated Magazine, they did Smoked Salmon - not cold smoked salmon (a la lox), hot-smoked salmon...actually used a weber kettle to do it. The show was relatively decent, they make a few mis-steps on the web site that they didn't make in the actual programme.
The show was actually excellent, and one segment was spent discussing the components of their simple dry rub - including paprika. They indicated that they conducted a taste test including hungarian, spanish, normal and organic Caligornian, hot Hungarian and regular old McCormick's paprika on rice and in stew. The winner was Hungarian Sweet, the clear loser was Hungarian Hot, which most people found overpowering.
I agree with previous posts - I think having "fresh" paprika of any kind is more important than necessarily paying more, with ground herbs and spices, the volatile oils rapidly decay with age and it ends up tasting like peppery sawdust. Also, keep ground herbs/spices away from heat and light - on top of the stove is probably the worst possible place. In a cool cupboard, stored in an air-tight container is good - and while it may be tempting to buy in bulk, it's not always a good idea if it can be avoided, since they lose potency quickly, even in whole form over time.
Some references...
Americas Test Kitchen - Smoked Salmon (you might have to register, I did a long time ago...)
Good Eats - Spice Capades - Alton Brown's show all about spices - very good stuff