http://www.whfoods.com/genpage.php?tname=foodtip&dbid=68
Same plant species, different cultivar, different maturity, different tastes, different nutritional value. To summarize from the link, green are harvested earliest and contain the least vitamins, yellows are next and contain more vitamin C and less vitamin A and beta carotene, reds are harvest last and contain the most each vitamin types. Yellow and red are both sweeter and more fruity than green.
Roasting
I use direct heat, medium-high to high, specifically I use my grill but I've seen people set them directly on a gas stove burner (this seems like a fire hazard, so don't walk away). You could also broil them very close to the broiler, or roast them, but roasting will take longer than direct heat methods.
To easily peel them, you want to go until they're as black as possible. The blacker, the easier they are to peel. On my propane grill on medium-high flame, this takes about 4 minutes per side, my grill burns a little hot so you might need 5-6 minutes per side depending on how your grill works. edit: I also keep the lid closed so the flame climbs a bit more, especially important on a windy day.
You can find a picture on the top of this page, I actually let mine get significantly darker than that, but it's not required.
There are some great general roasting tips in this thread as well as peeling tips in this one.
Grilling
For grilling peppers, instead of keeping them whole, seed them and then cut them into quarters and lightly coat them with a little oil. I still use a higher, direct heat, but I flip the peppers more often so they will char a little without completely blackening. Since you're just going for a light char, this will take a little less time than roasted peppers would, about 8 minutes compared to 12.
There is a good step by step guide with pictures here.
Best Answer
Absolutely. Look to chiles en nogada, or chiles relleno, for a common example of something similar. Poblanos are admittedly a much firmer and more flavorful pepper, but you can definitely stuff bell peppers with the same process.
By charring the peppers first - either directly on a flame (e.g. on a gas stove or grill) or under a broiler, you can quickly blacken the skin, making it easy to remove. Doing this quickly enough can help avoid making the flesh of the pepper too soft and fragile.
You can then (carefully) stuff the pepper with the filling of your choice, and finish in the oven. If you're really good, you can get it all in through the top where you remove the stem, but it's much easier to split it down the side in just one place, and carefully tuck it back together after stuffing. I've often seen stuffed bell peppers sitting upright, with the top removed; if you've roasted them first you'll probably have better luck with them whole, lying on their sides.