I suspect that your outdoor peppers would do better planted in the ground rather than in pots. You could start them indoors in pots to get a head start in the spring. It doesn't take much to grow seedlings indoors.
But growing plants indoors in the winter is fun. I've never grown peppers indoors, but I've grown many other things. I think you'd have to use hps (sodium) lights, what they call "agro" bulbs, to get fruit. Although some of the compact flourescent lamps are good if you can get the right color and good reflectors. And it also helps to have a reflecting surface around the plants to keep the light on them. Even if you're just growing seedlings under shop lights, you can drape some aluminum foil over the lights so that it hangs down and keeps the light in, and it makes a big difference.
I used to start plants under compact fluorescent lamps with good reflectors ... you can see them at
http://www.ahsupply.com/96watt.htm ... but I don't think these bulbs come in a warm color like you would need for fruiting. But I think something like lettuce would grow very well.
Also, unless you are going with a 600 watt or 1,000 watt bulb, you're going to have a very limited grow space ... too close to the bulb and the plants can burn, too far away and there's not enough light ... so you need to grow short plants or somehow train the plants to stay short.
I'm thinking that a 400 watt hps bulb would be appropriate. The "agro" bulbs have the best color and the electronic ballasts are more efficient. Personally, I might start small with a 2' x 2' grow chamber with a 250 watt bulb.
Lowe's sells insulation that's a styrofoam panel with foil facing which makes a nice grow chamber ... I'd enclose three sides and then just lean a piece of the foam up against the open side to keep the light in, moving it out of the way for watering and viewing. And of course you need good ventilation to keep the plants from cooking. A heating pad under the pots might make a difference with peppers. And a fan blowing on the plants makes them stronger.
Growing indoors can also lead to an interest in crossing plants and coming up with your own peppers. I think that's what I would do ... grow plants indoors over the winter and cross them and then start the new/hybrid seeds indoors in early spring and move them outdoors to grow. I find it's fun to grow plants like that, not knowing exactly how they are going to turn out, and coming up with something new.