If you like spice I recommend Comptoir Sud Pacifique's L'eau Du Gouverneur and Annick Goutal's Mandragore, and if you like spicey-strange I recommend Annick Goutal's Sables. I've been sniffing fragrances for a very, very long time and I've never come across a scent like Sables. It regularly causes me to get odd looks, and part of the weirdness is the fact that a few sprays can (this isn't hyperbole) damn near last a week on skin. So the shelf-price is actually a major bargain.
If you don't like immortelle though you won't like Sables.
For more generic, inexpensive or easily obtainable spicey fragrances I say see if you can test Mandarina Duck's Pure Black. The evolution is fun and it's got a great pepper note which, along with the tobacco, keeps the vanilla dry down very dusty and organic as opposed to foody. Women seem to really like the smell of this one for some reason.
Another I really dig is Kenzo Jungle Pour Homme. Awesome bottle, and great exotic smell. Also unlike many orientals this is wearable in warmer weather.
Lastly I say sample Xeryus Rouge as it's incredibly 'out there,' for a designer comp and definately spicey, as in burn-your-nose spicey.
Edit - just read you like incense. CDG's incense series is pretty good.
