Preheat grill to medium-high heat.
In a medium bowl, combine all of the Burger ingredients (ground beef, egg, garlic, Worcestershire sauce, breadcrumbs, chili powder, paprika, onion powder, cumin, pepper, salt and cayenne pepper). Mix until well combined.
Shape mixture into 4 patties. (Tip: Make the patties slightly thinner in the center. This will give the burger a better shape once grilled.)
Grill burgers on medium-high heat until fully cooked, flipping once after 4-5 minutes.
In a small bowl, combine the corn and salsa. Stir until well combined.
Assemble the burgers with pepper jack cheese, corn salsa, pickled jalapenos and sliced avocado.