The colored ones you buy in the stores are varieties (like tomatoes). You buy specific pepper plants at the nursery that will produce red, yellow, green, or even purple bell peppers. Technically, all bell peppers (except the purple ones) start as green and then turn colors as they mature (again, like tomatoes do). I grow Sweet Bells (green). I've tried the others (except purple), but my growing season here is so short that they don't mature. My sister grows purple Bells... and yes, they’re purple.
Bell Peppers are a perennial plant, meaning they will grow and produce for years. They’re also a tropical plant, meaning they love warmth (but not excessive heat), sunshine and water.