This may be old news to some of you, but it's a new culinary technique to me.
Next time you are deep-frying something (chicken, fish, etc.), try throwing in a few whole peppers, such as my overall favorite, jalapeno. Let'em fry until they start to brown a little - then they're done.
They come out looking, smelling, and tasting like a roasted pepper, and they aren't greasy - the oil doesn't get into the pepper as long as it was whole to begin with.
I love roasted peppers, but rarely take the time to do them. Now when I fry fish or chicken in my Fry Daddy, I throw a few in and enjoy.