My Dad taught me the best way to roast a pepper. It is also the quickest.
Rub the pepper in a small amount of olive oil and put it directly over a gas flame, turning it as it blackens until it is charred all over. I usually put a thick grill or grate over the flame so that it cooks more evenly.
When it is ready put it in a covered receptacle, e.g. a saucepan with a lid or a tupperware container; the steam makes it easier to peel. After 5 to 10 minutes remove it and peel it. Don't worry if there are a few bits you can't get off, the black charred skin adds a nice, smoky flavour in moderation.
Pull the stalk out, cut the flesh in half and remove any leftover seeds.
If you are not using it straight away, you can store it in the fridge for a few days. If you cover it in olive oil it should keep a bit longer.
You can, of course, roast it in the oven, but it is harder to get a charred skin, which gives it that lovely smokiness.