I've always gone the paper bag route, but I was recently told by a chef who specializes in southwestern food to soak them for 10 minutes in a bowl of ice water before peeling, particularly if you're working with thin skinned peppers like poblano peppers. I've tried it, and it worked very well for me and couldn't tell I was losing any flavor.

I roast them and with the blunt side of a knife on a chopping board, gently scrape off the skin (after they've sweated).

Interesting. I wonder how much of the flavor you lose under the running water. If only there were some food-obsessed people out there to test this for me...

Some people like to peel them under running water so the skin and bits slide off as you go.