I've come accross recipes before for scrubs and oils that use things like ginger, ceyenne pepper, black pepper and mustard powder. I don't know if those will produce the warming effect you're after - I've never actually made any of the recipes.
I have the bath and body works warming scrub - I can't remember what it's called - something tropcial. It smells like coconut. I love it. Even though it's only warming for a minute it's a nice little escape from the cold weather. I'd love a warming recipe so I could make some myself. It's pretty expensive and B&BW - like $13/bottle i believe.
Now that i've started thinking about this I've been on a google hunt for a recipe. I haven't tried any out yet, but I'll post my findings anyway:
Ginger Orange Cayenne Warming Foot Scrub
1/4 cup sugar (white or brown)
1/4 cup sweet almond oil
6 drops orange essential oil
1 drop ginger essential oil
1 level teaspoon powdered cayenne pepper
In a plastic bowl, mix together the sugar and oil. Add the essential oil and stir.
Add the cayenne pepper last and stir well to mix.
To use, sit comfortably in the tub or over a pan of water and/or a large towel to catch the sugar scrub as it is applied. Scoop up a handful of the scrub for each foot and massage vigorously yet with care over heels, ankles, toes, arches and the balls of your feet. Be sure to scrub any rough areas especially well.
(i don't know if this is really a "warming" scrub or just refering to a "warming" fragrance - sounds yummy either way though)
1 cup of vegetable glycerin
1/3 cup of olive oil
2 cups of dark brown sugar
1 cup of turbinado sugar
1/3 cup of cocoa butter
1 tablespoon spoon or more of gingerbread fragrance oil
5 drops of liquipar oil
Combine all ingredients in a plastic bowl and mix well using a hand blender or mix very well by hand. Put into wide mouth jars.
You can sub vegetable glycerin for 2/3 of your oil in a basic scrub recipe. IE) I you use 1 1/2cups oil, change it to 1/2 oil & 1 cup veg glycerin. Veg Glycerin is warming. I have not tried it but have seen the recipe around a few times. I was actualy planning to give it a try for VDay.