Some clarification (at least from my POV):
I agree with "Rainbow Gardener's" comments. Peppers are classified as annuals; meaning they grow, produce seed pods, and then die once the weather gets too cold... most of the time.
Yes, if you plant a pepper plant outdoors in a climate that has cold temps (frosts), yes, your plants will most likely die. That is what they are inclined to do. And yes, even the places where they grow naturally can "frost". So in TN, with pepper plants in the ground, they are prolly going to die in the next 4 months. So be it.
However, I disagree with the MOD's comments as well. They don't have to die, or at least one can help them live if one is so inclined to do so. A potted pepper plant can make it through the year if brought inside (out of the cold). Human intervention can get anything to grow anywhere. If this wasn't true, why can I find almost any kind of pepper (as food) at my grocery store year round? Green houses, controlled environments, can keep "annuals" alive if not thriving. The plant doesn't know what month it is or where it is located. If the conditions are right, it grows and produces fruit. If what I say is wrong, why can one find a massive variety of produce year round... or flowers, or whathaveyou?
My point: Say you bought a young habanero plant at a store recently and you live not in the southwest. That pepper plant will prolly not mature enough to produce fruit in the next 3 days (before winter starts in the northeast). That doesn't mean that one can't nurture said plant indoors and, if the plant survives, have a better season the following year.
I believe that the statement: "Peppers are annuals; they won't wait until next year... and they will all DIE! (paraphrasing)" is a blanket statement used in error. I believe that this statement, without clarification or common sense, may dissuade gardeners from ever wanting to grow peppers, not to mention that it is (under certain conditions) largely untrue.
"Start over with new plants", yes, great advice. I do it. But I do have pepper plants that have lived from season to season. And yes, they get bigger, heartier, and produce more fruit faster. I'm refering to potted plants. But to drive the point home, here in AZ, you can take a 2 year jalapeno or habanero (potted) and plant it in the ground. It can survive the winter or a frost if you take precautions (like covering them during a frost). By the 4th year, you no longer have a pepper plant. You have a pepper bush. That plant (bush) is so big, so established, with roots so deep... It has a good chance of surviving a little old frost. It will go dormant, but it will not die. At this point, the pepper production gets into the hundreds or thousands.
So yes, I'm talking about locale. The southwest: Phoenix, San diego, LA, Roswell, El Paso... I would be careful to say that peppers die. I've seen it snow in Phoenix (it can happen). But if you take your plants indoors, they can survive. If you take precautions, they can survive. If you have a green house, you can grow what ever you want whenever you want.
Rainbow Gardener is largely correct in the statements made (in the case of nature). But these statements are full of holes. They just aren't (or don't have to be) true. If you want to grow peppers, then grow peppers. But do some research as to your locale and climate and take the necessary precautions. You will be surprised.
I write this because I felt that the MOD's comments (though true in most circumstances) are not a definitive, or blanket, statement... nor should be interpreted as such. I just don't want a negative comment like this from dissuading others from growing peppers. It is possible, despite anything.
That's my dollar and a half. Take everything you read on this site with a grain of salt. All the advice is subjective. Remember that. I gave a counter argumant to what I perceived as bad advice. Take it or leave it.