Chipotle peppers are fully ripe red jalapeño peppers that have been smoke-dried; therefore, they have a smoky flavour as well as being hot. They originate in Mexico and are commonly used to make adobo, a Latin American-type of sauce or marinade often served with meat. While chipotles can be bought dried, canned, powdered and pickled, not all supermarkets stock them. Luckily, there are substitutes that, if cooked correctly, can result in a perfectly good adobo.
As one of the main flavour characteristics of chipotle peppers is their smokiness, smoked peppers of almost any kind can be used as a substitute. Try to choose smoked hot peppers so that you still get the right amount of heat, such as habanero or pasilla de Oaxaca. You usually can find smoked peppers in jars or at the supermarket. If you happen to have a smoker at home, you can always buy some jalapeños (preferably red ones) and smoke them yourself.
Serrano chillies can be used easily in adobo sauce and are a commonly used ingredient in many sauces. They are very hot, so much so that handling them can sting your skin. These chillies can be used fresh or dried if you have a dehydrator -- do it outside, however, as the heat can make you cough. Bear in mind that the red peppers will be hotter than the green ones.
Although they are used more as pickled, the heat and slight bitter taste of pepperoncini peppers makes them a usable substitute in adobo sauces, too. There are two types: pepperoncini in Italy that are very hot and a slightly sweeter variety found in the United States. They are often sold pickled, so make sure you get the fresh variety for your adobo sauce.
Cayenne peppers are hot and spicy and usually ground and sold as powder, but also can be sold dried. Cayenne pepper is available year-round and is sold at most supermarkets. It will add pungency to an adobo sauce and the powdered form is an ideal substitute if you can't find other types of peppers.