Try looking at some reference images (google images is often the easiest method) to see what peppers look like.
- Very irregular shapes, usually with subtle bumps and nicks.
- Most peppers seem to have rather rough reflections.
- Extremely subtle color variations in the skin.
- Little bits of "imperfection", such as tiny specs of dirt in crevices/around the stem
With some hastily slapped together procedural textures, I attempted to simulate these things:
For the irregular shape, I used two displace modifiers. One doing macro displacement in all directions, the other doing subtle displacement along the normals.
To get the subtle variations in color I used a noise texture. For the small nicks I used a bump map. For the rough reflections I used a much rougher glossy shader.
You'd probably be able to get more realistic results with image textures, but perhaps this will give you some ideas.
In my scene I didn't end up using SSS for the pepper, as with my lighting setup the results were indistinguishable from a diffuse shader (and SSS was much noisier). However this might not be the case in your scene, so keep in mind that thickness and inner geometry matter. Peppers are usually hollow with a core running through the middle, so a solidify modifier and a displaced cylinder in the middle should approximate that pretty well.