Rocotos (Capsicum pubescens) are reportedly easier than the rest, indeed they can even take a light frost. I've been growing Rocotos this year, and intend to have a go overwintering them. It was a good year to choose Rocotos, as the fruit will set and develop in cooler conditions than other chillies, and then the long mild autumn has now given me a good crop, though I've had to pick them all with some almost-frosts the last few nights. If I do overwinter them, maybe I will get an earlier crop next year.

Chilli-heads occasionally try and overwinter species that are hard to get to fruit same year if seed-grown in a British climate, such as habaneros. A bit of light supplementation with cheap grow-lights can help.