PEG is Polyethylene Glycol and it can warm the scalp. It does this because as it absorbs water from your skin the solubilisation of the water into PEG generates heat.
Hesperidin is a flavanoid which is found in citrus fruits. By combining it with a glucose molecule it is more soluble and easier to formulate with. It is claimed this ingredient also warms the skin by increasing circulation.
I hear women adding pepper essential oil to their shampoo to stimulate hair growth and reduce hair loss. I know a mother and a daughter that reached great results with this treatment, but you have to be careful not to put pure oil on your scalp, mix it with the shampoo first.
Just remember though, even if these products do warm the scalp and increase blood circulation, there's no evidence to show that increase improves hair growth.