Not sure where you are from but, here in the Northeast, you typically see two kinds (hot, sweet). I agree with Buffalo that mild and sweet seemed to be used interchangeably but I've never seen hot called anything but hot. Primary seasoning in sweet sausage is comprised of fennel seed and black pepper. Hot Italian has fennel, black pepper, crushed red pepper and paprika. Usually the extra spices in the hot variety give it a reddish color as compared to the usual gray of the sweet variety.
If you can not find it, I would suggest making your own. It's very easy to do and you can control what goes into it.