This is not the first time recently that it has been suggested that chilis are perennial.
Before too many people start trying to overwinter their plants - a word of warning:
Many chilis together with sweet peppers are cultivars of
Capsicum annuum, which, as the name suggests, is
annual. There are other species of which some are perennial. I'm no expert, so have a look at this link which lists the species and the common cultivars, before you decide what to do:
http://en.wikipedia.org/wiki/List_of_capsicum_cultivars
As for Colin's original question; it is certainly true that peppers and tomatoes will readily germinate from fresh seed. One of my biggest "weed" problems with polytunnel crops following tomatoes is tomato seedling popping up everywhere - but at least the cold knocks them off. Brassicas will also readily grow from fairly fresh seed (i.e. fallen out of ripe pods) - so will peas and beans (broad and French). But as Primrose warns, what's the point of having plants over winter which will need heat and light, when they can be sown more successfully in the spring?
Cred air o bob deg a glywi, a thi a gei rywfaint bach o wir (hen ddihareb Gymraeg)
Believe one tenth of what you hear, and you will get some little truth (old Welsh proverb)