Some paprikas are better than others. if you are using the cheap stuff that comes in a tin can, you aren't going to get any flavor out of it and it will just burn at high heat. I recommend a good smoked paprika. It adds a decent flavor and color and you will be able use less of it in your rubs too.
I'm with missinTX on this one. The paprika I've bought in the supermarkets is really bland stuff and it doesn't do much more than add color.
However, I've been using Hungarian paprika lately and it makes a huge difference. I've used the McCormick brand a few times and it's OK, but my local Italian store has a brand called "Pride of Szeged" that's absolutely fantastic. I've used the sweet and the hot paprika, and both are excellent. Neither are smoked, though.
I found this link as well, if you need to order it online: