I feel compelled to point out that you don't need a gas grill or barbecue (BBQ to some) to make roasted peppers, although it does help. I can't have a barbecue in my apartment, much as I'd like one, and I only have an electric stove, but I roast peppers all the time. Like LordOmar, I prefer red or yellow bell peppers.
You can roast your peppers whole, or cut them up first. Whole peppers have the advantage of exuding tasty juices as they cool, and this juice does much to enhance the flavour of, say, soups or dressings; the disadvantage is they are a little harder to seed than raw peppers. If you cut the pepper into flat sections first, it's much easier to just rip out the seeds before you begin roasting, but you don't get those tasty juices. If a little extra effort doesn't bother you, I recommend you to do them whole; if you want quick and easy, cut them up first.
Now then, the goal in roasting is, as the lord says, to char the skin totally. Charred skin will peel off quickly and easily, while just sort of seared skin will stick and make you swear. A barbecue, especially one that has a closing top, will make quick and easy work of achieving the total char. Alternatively, grill your peppers directly on a gas burner of your stove (cooker to some) - this works best with whole peppers - or under the broiler of a gas or electric oven - this will work with whole peppers or flat pieces. Go for totally blackened skin all around.
I've never heard of plunging them into water; I always put the charred peppers in a bowl and cover them with anything handy. An Italian told me you have to cover the bowl with newspaper - though he didn't say why - and being a skeptical type, I disregarded this bit of lore. Anyway, the point of covering the peppers is to let the flesh steam a bit to further soften and cook it. When cool enough to handle, peel off the blackened skin and discard the stem and seeds, if present. Keep the tasty juices that have collected in the bottom of the bowl, as I mentioned above, and add it to whatever seems like it needs a flavour jolt. Be creative.
Without oil to protect them from air, roasted peppers will only keep for a few days in the fridge, but they freeze well. So I usually roast lots of peppers in the fall (autumn to some), when they're cheap and plentiful, and freeze them in small batches so I can thaw them out in the frosty middle of our nasty Toronto winter and make a lovely roasted pepper vinaigrette (use a blender), or a dip like this one, or have them on an hors d'oeuvre plate, or...