Soya sauce. Are they different for variety of dishes?
If you heard people talking about "thick" vs. "thin" soy sauce, they were probably actually referring to dark vs. light soy sauce.

Dark soy sauce does not actually refer to the colour.  It does tend to be darker than natural fermented soy sauce, but if you're comparing to the hydrolyzed kind (the most common sold in stores), it will look about the same in terms of colour.  What actually distinguishes dark soy sauce is that it is aged longer and has added molasses, which makes it thick, sticky and syrupy.

Dark soy sauce does taste quite different from light soy sauce, even when it's the same brand.  Dark soy sauce replaces some of the saltiness of light soy sauce with sweetness instead, and in general just has a "bolder" taste.  It's usually used as a cooking ingredient, not a condiment.  I've heard, but can't verify, that it is more common in Japanese cooking than other Asian cuisines (although I have used it with much success in Chinese and Thai dishes).

I've started to see a lot more ordinary grocery stores carrying dark soy sauce, but until recently it was difficult to find unless you went to an Asian grocery store, and may still be difficult in some regions.  Unless the bottle specifically says dark soy sauce, it is light soy sauce.

You should not directly substitute one for the other.

As for your comment about the one you bought tasting too "hot" - you must have bought a chili-infused soy sauce or something.  Ordinary soy sauce (dark or light) is never spicy-hot.