Hi Paula,
I have experimented with Hot Spot Analysis over the years and have encountered similar problems/questions (of which I never have been able to answer). Keep in mind that your hot spots and cold spots are based off of statistically significant Z Scores. So, you may have "high" values for certain polygons, but they may not be statistically significant as compared to other polygons with high values. I find when I am doing cluster analysis that it is useful to not only map out the statistically significant Z Scores, but to also map out ALL of the Z-Scores to simply explore the data visually. Also, you can run the Local Moran's I statistics and map out the Moran's I results as well as statistically significant Local Moran's I Z Scores to further explore the data. Why do this, you ask? Well, it just helps to really understand your data a bit more. ESRI has great resources for understanding how all of these statistics work, so read up on them. Also, Andy Mitchel's book on Spatial Statistics (Vol. 2) is a great resource for understanding cluster analysis. And lastly, if you are working with polygons rather than point data, perhaps change your conceptualization of spatial relationship to something else: polygon contiguity?
-Phil