The Wednesday Chef is a food blog I read on occasion. I love Luisa Weiss's writing, and have several of the recipes she's posted bookmarked, but haven't tried any yet. (But I will! Really, I will!)
I was just over at her site, where she's posted this great tutorial on how to roast a pepper. While I'm sure a lot (or maybe all) of you know how already, I really liked how clear her directions are and how beautiful the photos.
(And I usually halve my peppers first and remove the seeds, but then the edges don't get as singed, so next time I'm trying 'em whole like she does.)
Additionally, in a cooking class I took once, the chef advised either putting the just-roasted peppers into a paper bag and closing it or putting them in a bowl and sealing it with plastic wrap for the 20 minutes or so while they cool. That way the steam helps loosen the skin, making removal easier. Another tip from him was to let them get way blacker than you think they should be. And it's true. Really. Great roasted flavor and much easier to peel when they're blackened like a burnt marshmallow!