Mythbusters did a show on it (didn't personally watch it) and milk came out on top for them. Capsaicin is fat-soluble, so the lipophilic casein in milk coats it

Mythbusters did a show on it (didn't personally watch it) and milk came out on top for them. Capsaicin is fat-soluble, so the lipophilic casein in milk coats it apparently. The sugar water claim seems to be because they use it when measuring Scoville units, but seems odd to me. Soluble in alcohol too.