Confused about cayenne pepper, chili powder and paprika
Cayenne pepper powder comes from the cayenne pepper.  It is hot/spicy, registering 30,000 to 50,000 Scoville units.  
Chilli powder, depending where you live, can mean anything between pure powdered chilli pepper (location would determine the specific type of pepper) to a spice blend of chillies with cumin, oregano, and/or other spices.  Depending on the brand (or if you make it yourself) the heat and flavor can vary.
Paprika is the dried and ground pepper capsicum annuum, the species of pepper that includes a wide variety of shapes and sizes, such as sweet bell pepper, jalapeno, New Mexico chili and cayenne.  It appears that the tomato pepper is the most commonly used variety for the production of paprika.  Of course, there are also smoked varieties (sweet, bittersweet, and hot).


I would say that they are generally not interchangeable.  Just a little bit of cayenne, for example, will bring quite a bit of heat to your final dish.  Chili powder will bring more flavor/spices than paprika.

It really depends on the final result you are looking for, but simple substitutions will result in very different outcomes.