I usually just keep piling the spicy in until it's gone, then if it was Habanero or Naga Jolokia I would be downing milk like crazy.
On a scientific stand point none of the options you listed, with the exception of milk, wouldn't have any real effect on the amount of capsaicin or other capsaicinoid in your mouth. Like oil, capsaicin is a hydrophobic substance. In other words water won't do anything, the capsaicin will remain in your mouth.
Milk has a phosphoprotein called Casein which accounts for nearly 80% of the proteins found in cows milk. Casein has a detergent effect on capsaicin and other capsaicinoids, which is why milk is one of the best ways to "kill the flame."