Chili powder substitutions
Chili powder is typically a blend of ground chilies and other spices (and maybe even herbs).

I'd go with a blend of:


paprika (smoked if you can find it)
cayenne
cumin
oregano
garlic powder


You can also try mixing in onion powder, other chilie powders, and black pepper.  Some pre-mixed blends also include salt.  If you have access to other dried chilie powders, you might consider using ancho or new mexico chilies for a 'dark' chili powder, as opposed to the more red powder you'll get from the cayenne.  (but cayenne's more available)

Search online for recipes -- you'll find lots of variation out there.