Clean your peppers thoroughly and dry. Slice them in half lengthwise.
Roast the peppers in a broiler or on a grill over medium heat until the skins are bubbly and blackened, about 15 minutes. For other methods, see How to Roast Chili Peppers. Be sure not to overcook. Remove and allow to cool. You can also place them into paper bags and allow them to steam to help loosen the skins.
Skin the peppers and remove the seeds and innards, if desired, though bear in mind most of the heat in within the innards.
Cut the flesh into thick strips.
Add the roasted pepper strips to a cleaned, sterilized jar. Pour in enough olive oil to cover, then cover with a tightened lid. Be sure to make airtight.
Refrigerate immediately.
Notes
Will last a couple months or longer. If using garlic or herbs to flavor the oil, it will only last a week. Keep refrigerated.