I like to make pepper beers.
I scorch the skin on an open flame until it's black and then peel it off under running water. Then I cut the seeds out and put them in the toaster oven at 200F for 15 minutes to kill anything lurking. Then I put them either into the secondary or into the keg. It takes some practice to get the right heat level. My MO is to use poblano peppers for the aroma and flavor and add half a habanero (in 5 gallons) for heat.
I think pepper beers work best in less hoppy styles, especially roasty beers, but I've had pretty darn good Belgian style pepper beers, too.