I've never made my own infused alcohol before, but I did read this article just yesterday:
http://lifehacker.com/5904592/make-y...+infuse-method
I would probably be more inclined to use jalapeno over a serrano. Serrano's are more fiery, and while I've never tried a pepper infused vodka, I've tried serrano beer before, and the spice was a little bit off-putting. It wasn't too spicy or anything, it was just a little "weird". I'm sure dried chili's would work too. I'm quite fond of chili de arbol. Thai bird chilis would probably give a nice flavour too.
For the rum, you could infuse it with some vanilla beans. Home-made spiced rum. Or maybe some dehydrated coconut to make your own malibu.