How do you make a deep spicy flavour that leaves you wanting more?

Adding some grated fresh ginger towards the end of cooking can do this, and is compatible with both Indian and Chinese food.

In general though, you need more of the spices that give flavour, and less reliance on chilli heat alone. For that, in a curry, cumin, ginger, mustard, turmeric, and coriander are common, though there are plenty of others. Commercial spice blends can be good but I prefer to fiddle and taste as I go, I tend to do it myself

First, make sure you have everything covered on the - and I still defend the number six here - six basic tastes front. Acid, Sugar (a bit of it belongs in most ANY dish for best results, especially if working with average, supermarket grade ingredients - the question is how much!), Fat (mind emulsified vs unemulsified, saturated vs unsaturated), Bitterness (freshness to a degree!), Salt, Umami (do not overdo it with a complex spice mix - I found it has a tendency to mush aromatic flavours together more than support them if there is too much. Say no to adding ajinomoto to north indian food!). Also, mind texture and water content. Mind that water, fat and alcohols are solvents (with different effectiveness on different flavour compounds) and can carry flavours to the tongue, and that texture also matters in how they do.

Also, spicy dishes, especially if meatless, tend to come out great if there is not just umami but also actual protein in the sauce - eg thickening it with lentils, peanuts, yoghurt, etc ... adding brunoised smoked tofu (or bacon), or beans (as done in some types of Chili).

Avoid lean, starch thickened sauce builds - they tend to overemphasize the water soluble compounds.

Then: LAYER.

Sometimes, adding the same spice multiple times and/or in multiple forms (whole, ground, in oil...) is the best way to get all the flavor compounds in. The reason to do it multiple times is that some compounds evaporate in prolonged cooking, others change, still others are enhanced by being slowly dissolved and distributed. Also, adding a spice during a saute phase will get the fat soluble compounds out while adding it to a water-rich phase prefers the water soluble compounds (often the more bitter ones). Ground spices can be more potent, but volatile compounds can be lost in storage more easily, and there is more chance that you have to take a withdrawal from your bitterness allowance since the basic plant matter of many spices is bitter. Which is also the main reason why trying to use thoroughly stale spices by just using more tends to end in unsatisfactory results. BTW, careful with powdered cloves - they are brutally potent.

Sometimes, adding very similar spices provides depth: Nutmeg and mace, pepper and chile pepper, ginger and galangal, allspice and cloves, amchur and anardana, cumin and shahi jeera...

Chile peppers are a special case worth mentioning: Stacking very hot varieties - especially if ground! - on top of milder ones can give better depth of flavor.

Chinese food often has a flavor enhancing ingredient known as MSG (monosodium glutamate). MSG is derived from glutamic acid. Glutamic acid is found naturally in many foods such as meat, cheese and tomatoes. It gives these foods a more savory or "unami" flavor (it's why pizza is so good). MSG can be bought at your local grocery store, in the spice department, branded under the name "Accent". It won't have any taste itself but will enhance the flavors of other spices.

https://en.wikipedia.org/wiki/Monosodium_glutamate