Red bell peppers always seem to be at their most abundant (and least expensive) right around mid-September in Boston. At the farmer's market near my office they are going for around $2/pound, compared to the usual $5/pound in the off-season at the grocery store. And the quality is much, much better.
I like to stock up and roast them, then chop and freeze to use throughout the winter.
One of my favorite food writers, Laurie Colwin, wrote that the long, skinny peppers are more flavorful than the monster fat-and-squat ones. I also read somewhere that all produce that looks like it has been roughed up a little is usually more rich in phytochemicals and antioxidants. So I go for peppers that look a little anorexic and battered.

To roast them, wash peppers, dry, and coat with a small amount of olive oil. Broil in the oven, turning the peppers every 10 minutes or so so they are done on all sides. They will turn completely black.
If you have a grill, you can throw them right over (or even in) the fire until black on all sides. I imagine this is the better method but I have never been able to try it.
Once evenly blackened, carefully remove from the oven or grill and place in a paper bag to steam for 10-15 minutes. When they are cool enough to handle, remove the blackened outer skins (it should come off easily and be paper-like). Remove the seeds, if desired, and chop to the size desired. Store them in the freezer in baggies in increments of 3 peppers or so per baggie. They should keep in the freezer until you have a new harvest of cheaper peppers to roast.
Here's a great recipe for a spicy roasted red pepper and tomato soup. I make it all winter long. It's a little labor-intensive, so if you make it, make lots so you have extra to freeze.
Roasted Red Pepper and Tomato SoupIngredients:1 tablespoon olive oil
1 onion, chopped
2 cloves garlic, minced
3 roasted red bell peppers, seeded and chopped
4 large tomatoes - peeled, seeded and chopped
1 1/2 teaspoons dried thyme
2 teaspoons paprika
1/8 teaspoon sugar
6 cups chicken broth
salt and pepper to taste
1 pinch ground cayenne pepper
1 dash hot pepper sauce
2 tablespoons butter
1 1/2 tablespoons all-purpose flour
6 tablespoons sour cream (optional)
Preparation:Heat olive oil over moderate heat. Add onion and garlic and cook until soft but not brown, about 5 minutes. Stir in tomato, red peppers, thyme, paprika, and sugar. Cook over medium-low heat until all the tomato juices have evaporated, about 25 minutes.
Stir in chicken stock, salt and pepper, cayenne pepper, and hot sauce (if using). Bring to boiling, lower heat, and simmer, partially covered, for 25 minutes or until vegetables are tender.
Strain soup, reserving broth. Place solids in food processor or blender, and process until fairly smooth. Add puree back into broth. An immersion blender is perfect for this job, if you have one.
Melt butter and stir in the flour, cook for 1 minute. Stirring slowly, add the broth/vegetable mixture. Bring to boiling. Lower heat and simmer 10 minutes.
Ladle into bowls and add 1 tablespoon of sour cream to each bowl, if desired.