Fresh peppercorns certainly retain their heat during cooking. They are occasionally used in Thai stir-fries. If you eat enough, you will get crazy effects 4-12 hours later: The palms of your hands and bottom of your feet will tingle. It's wild.

Also, chillis lose some heat with cooking. Again: From Thai cooking, fresh chillis are used sparingly as a topping, but Bird's Eye chillis can be used in a stir fry enough to kill a small child (joke, but they can use a lot).