There are a number of ways to roast chili's. I have done it on a BBQ grill, over the flame on a gas stove and over a campfire. The trick is not to get them to done. You want to blacken the skin on the pepper but not affect the inside. When it is done right, you can hold the pepper under a tap running a cool stream of water and the skin will just slip off. The heat does some chemical changes to the pepper and you get this amazing sweet/hot taste. We roast Hatch chili peppers and jalepenos (which are then called chipotle and are the basis of all the chipotle sauces and dishes).