I love red peppers, especially when they're roasted. But purchasing roasted red peppers is pricy and unnecessary when they are so easy to make yourself.
Red peppers (or any colored pepper), washed and dried
Vegetable oil (DO NOT use extra-virgin olive oil, it will burn)
Preheat your oven to broil. Completely coat your peppers in the oil and place on a foil-lined cookie sheet. Place the pan on the highest rack in your oven. Bake until the skin turns blacks, about 15 minutes. Remove from the oven and turn using tongs (peppers will be very hot, do not handle with your hands). Repeat three more times until all four sides of the pepper are charred. Don't wander far from your oven while cooking these. You can easily burn them if you're not paying attention.
Once the peppers are blackened, remove from the oven and immediately place in a heat-proof bowl. Cover the bowl with plastic wrap. Seal well. The steam trapped in the bowl will loosen the skins of the pepper, making them easy to remove.
After approximately 20 minutes or when the peppers have cooled enough to handle, remove the plastic wrap. Carefully peel the skin of the pepper; it will come off easily. Pull the stem out and with it will come most of the seeds. Slit your pepper open with a knife and scrape off any remaining seeds and ribs.
Slice, dice, or puree into a sauce. Good in salads, on sandwiches, or in soups.