Short answer: yes.

Long answer:
That would depend on the selection your store carries. Here, we used to have only the cheapest and most prolific Annuums grown commercially in Spain or Holland. The main focus was on cheap price and large crops, so the taste wasn't really good at all and the burn was very stingy and nasty. Growing your own, you can pick from the entire selection from traditional tasty Mexican chillies to the spiciest (but still very tasty!) Indian and Caribbean cultivars. Thanks to the great work by the Finnish Chili Association and the good press about the hobby and related events, you can now find several kinds of fresh Finnish-grown chillies in many stores or mail-order them. Finland just might be the only country apart from Central American countries where you can find e.g. fresh C. pubescens chillies at a store (correct me if I'm wrong).