Yes you can. As long as the pepper is ripe "most often red but not
always" remove the seed and let them dry. Plant them when ready
HOWEVER
Most grocery store peppers are hybrids. This means the seeds might not
grow plants that produce the same pepper.
also assuming these veggies havent been irradiated and remember most
are soaked in chemicals
but you have nothing to lose so good luck
DanS
The Pepper Center
http://www.peppercenter.com