Can't remember if I've used IcyHot or not, have used DeepHeat, Ralgex (cream - not spray) BenGay (inc Ultra Strength) from the US (don't know what all the fuss was about - quite mild really).
One warning though I have used FireryJack - don't be tempted to use as I had quite a bad reaction - so be warned.
There's also Emuva Penetrating Deep Heat Cream - but think its quite expensive.
Going back to Ralgex for a sec nothing came close to the Ralgex stick! This was lethal sadly they stopped production in 2006/7.
The other one Ive read about is Tiger Balm although Ive not tried this.
Whilst a lot of heat creams includes the deep heating of Capsicum, Tiger Balm doesnt - Camphor, Menthol, Cajuput Oil, & Clove Oil.