Roasting or charring over an open (live fire or gas burner) flame is the cooking method used to remove the skins from sweet and hot peppers. This technique has the added benefit of softening the pepper's flesh and intensifying its sweetness. 

I find it easiest to put the pepper(s) on a wire rack set directly over a high flame, and rotate it with tongs until it is charred on all sides and its fleshy walls have collapsed. 

Try to avoid using water to peel off the charred pieces of skin by placing the roasted peppers in a bowl and salting them lightly. Cover the bowl tightly with plastic wrap to create steam and moisture, which will loosen the skin and make it easier to peel. Discard the stem and seeds and as much of the skin as possible. Don't worry if the pepper needs a quick rinse to remove the smaller charred bits; its concentrated flavor will not be compromised. Use roasted peppers in salads, marinate them for an antipasto platter, or puree them to make harissa or any number of other delicious spreads and sauces.